United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-7115
(Investment Company Act File Number)
Federated Hermes Total Return Series, Inc.
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 11/30/21
Date of Reporting Period: Six months ended 05/31/21
Item 1. | Reports to Stockholders |
Share Class | Ticker | A | TLRAX | B | TLRBX | C | TLRCX | R | FTRKX |
Institutional | FTRBX | Service | FTRFX | R6 | FTRLX |
Federated Hermes Total Return Bond Fund
A Portfolio of Federated Hermes Total Return Series, Inc.
Portfolio Composition | Percentage of Total Net Assets2 |
Corporate Debt Securities | 45.1% |
U.S. Treasury and Agency Securities | 20.5% |
Mortgage-Backed Securities3 | 11.7% |
Asset-Backed Securities | 1.2% |
Commercial Mortgage-Backed Securities3 | 1.0% |
Foreign Government Securities | 0.5% |
Collateralized Mortgage Obligations | 0.4% |
Municipal Bonds4 | 0.0% |
Bank Loan Core Fund | 7.0% |
Emerging Markets Core Fund | 5.7% |
Project and Trade Finance Core Fund | 4.5% |
Securities Lending Collateral5 | 1.4% |
Cash Equivalents6 | 5.5% |
Other Security Types7 | 0.1% |
Derivative Contracts8 | (0.3)% |
Other Assets and Liabilities—Net9 | (4.3)% |
TOTAL | 100% |
1 | See the Fund’s Prospectus and Statement of Additional Information for a description of these security types. |
2 | As of the date specified above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, affiliated investment companies (other than an affiliated money market mutual fund), in which the Fund invested greater than 10% of its net assets are not treated as a single portfolio security, but rather the Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment company. Accordingly, the percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. Affiliated investment companies (other than an affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in the table. |
3 | For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities. |
4 | Represents less than 0.1%. |
5 | Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or repurchase agreements. |
6 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
7 | Other Security Types consist of common stock and purchased options. |
8 | Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report. |
9 | Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— 35.4% | |||
Basic Industry - Chemicals— 0.1% | |||
$ 2,653,000 | Albemarle Corp., 4.150%, 12/1/2024 | $2,919,364 | |
395,000 | DuPont de Nemours, Inc., Sr. Unsecd. Note, 5.319%, 11/15/2038 | 506,000 | |
9,955,000 | RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045 | 11,838,982 | |
12,000 | Sherwin-Williams Co., Sr. Unsecd. Note, 2.750%, 6/1/2022 | 12,270 | |
TOTAL | 15,276,616 | ||
Basic Industry - Metals & Mining— 0.5% | |||
10,285,000 | Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031 | 10,393,161 | |
4,580,000 | Anglogold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040 | 5,587,600 | |
1,530,000 | Carpenter Technology Corp., Sr. Unsecd. Note, 4.450%, 3/1/2023 | 1,593,286 | |
7,785,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026 | 7,789,910 | |
3,890,000 | Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.875%, 4/27/2051 | 3,899,042 | |
7,750,000 | Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023 | 8,235,941 | |
2,200,000 | Southern Copper Corp., Sr. Unsecd. Note, 3.500%, 11/8/2022 | 2,290,750 | |
2,180,000 | Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040 | 3,020,662 | |
2,290,000 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.300%, 8/1/2032 | 2,558,919 | |
3,330,000 | 1 | Worthington Industries, Inc., Sr. Unsecd. Note, 4.550%, 4/15/2026 | 3,746,460 |
TOTAL | 49,115,731 | ||
Basic Industry - Paper— 0.1% | |||
1,788,000 | 1 | International Paper Co., Sr. Unsecd. Note, 3.000%, 2/15/2027 | 1,954,306 |
9,500,000 | International Paper Co., Sr. Unsecd. Note, 4.400%, 8/15/2047 | 11,322,580 | |
TOTAL | 13,276,886 | ||
Capital Goods - Aerospace & Defense— 1.2% | |||
9,050,000 | Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027 | 9,749,051 | |
7,480,000 | BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025 | 8,287,593 | |
4,845,000 | BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050 | 4,543,066 | |
6,065,000 | Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027 | 6,284,845 | |
11,535,000 | Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030 | 11,653,656 | |
2,425,000 | Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059 | 2,400,502 | |
5,875,000 | Boeing Co., Sr. Unsecd. Note, 4.508%, 5/1/2023 | 6,277,436 | |
5,900,000 | Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025 | 6,631,440 | |
8,500,000 | Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040 | 10,596,815 | |
2,940,000 | 1 | General Dynamics Corp., Sr. Unsecd. Note, 1.150%, 6/1/2026 | 2,959,046 |
4,360,000 | General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025 | 4,743,937 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Capital Goods - Aerospace & Defense— continued | |||
$ 6,490,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027 | $7,112,442 | |
2,900,000 | Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, Series WI, 3.844%, 5/1/2025 | 3,186,711 | |
3,750,000 | Leidos, Inc., Unsecd. Note, 144A, 3.625%, 5/15/2025 | 4,087,106 | |
10,870,000 | Leidos, Inc., Unsecd. Note, 144A, 4.375%, 5/15/2030 | 12,223,750 | |
3,970,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 2.900%, 3/1/2025 | 4,282,695 | |
7,300,000 | Lockheed Martin Corp., Sr. Unsecd. Note, 3.550%, 1/15/2026 | 8,113,489 | |
1,820,000 | 2 | Textron Financial Corp., Jr. Sub. Note, 144A, 1.890% (3-month USLIBOR +1.735%), 2/15/2042 | 1,510,600 |
4,685,000 | Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031 | 4,640,763 | |
1,800,000 | Textron, Inc., Sr. Unsecd. Note, 3.875%, 3/1/2025 | 1,963,454 | |
3,000,000 | Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024 | 3,258,642 | |
TOTAL | 124,507,039 | ||
Capital Goods - Building Materials— 0.3% | |||
3,010,000 | Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029 | 3,222,165 | |
4,940,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024 | 5,285,397 | |
5,270,000 | Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027 | 5,739,255 | |
6,770,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031 | 6,893,888 | |
3,305,000 | Carrier Global Corp., Sr. Unsecd. Note, 2.722%, 2/15/2030 | 3,396,617 | |
10,200,000 | Carrier Global Corp., Sr. Unsecd. Note, 3.577%, 4/5/2050 | 10,388,809 | |
TOTAL | 34,926,131 | ||
Capital Goods - Construction Machinery— 0.4% | |||
69,000 | Caterpillar, Inc., Deb., 5.300%, 9/15/2035 | 89,340 | |
295,000 | Caterpillar, Inc., Sr. Unsecd. Note, 3.250%, 9/19/2049 | 311,979 | |
1,640,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.875%, 1/15/2026 | 1,669,611 | |
9,000,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.950%, 7/2/2023 | 9,259,101 | |
445,000 | CNH Industrial Capital America LLC, Sr. Unsecd. Note, 4.375%, 4/5/2022 | 459,919 | |
9,475,000 | CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027 | 10,529,105 | |
3,910,000 | 1 | Deere & Co., Sr. Unsecd. Note, 2.750%, 4/15/2025 | 4,198,420 |
510,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 2.150%, 9/8/2022 | 522,851 | |
500,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 2.750%, 3/15/2022 | 509,998 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Capital Goods - Construction Machinery— continued | |||
$ 9,875,000 | John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029 | $10,986,173 | |
TOTAL | 38,536,497 | ||
Capital Goods - Diversified Manufacturing— 0.5% | |||
144,000 | General Electric Capital Corp., Note, Series MTNA, 6.750%, 3/15/2032 | 195,574 | |
350,000 | General Electric Capital Corp., Series NOT2, 5.500%, 3/15/2023 | 378,901 | |
917,000 | General Electric Capital Corp., Sr. Unsecd. Note, Series GMTN, 6.875%, 1/10/2039 | 1,336,250 | |
2,555,000 | Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025 | 2,615,796 | |
2,680,000 | Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050 | 2,633,109 | |
5,885,000 | Lennox International, Inc., Sr. Unsecd. Note, 1.700%, 8/1/2027 | 5,908,701 | |
8,190,000 | Lennox International, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2023 | 8,631,588 | |
5,000,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 1.750%, 2/15/2031 | 4,705,134 | |
4,830,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.000%, 6/30/2030 | 4,675,225 | |
3,585,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029 | 3,773,457 | |
1,900,000 | Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025 | 2,116,411 | |
7,715,000 | Vontier Corp., Sr. Unsecd. Note, 144A, 1.800%, 4/1/2026 | 7,714,228 | |
3,285,000 | Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025 | 3,509,265 | |
6,575,000 | Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031 | 6,511,079 | |
TOTAL | 54,704,718 | ||
Capital Goods - Packaging— 0.1% | |||
5,350,000 | Packaging Corp. of America, Sr. Unsecd. Note, 4.500%, 11/1/2023 | 5,802,503 | |
5,830,000 | WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028 | 6,555,262 | |
TOTAL | 12,357,765 | ||
Communications - Cable & Satellite— 0.9% | |||
10,980,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 5.050%, 3/30/2029 | 12,803,265 | |
175,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 228,842 | |
8,500,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 4.800%, 3/1/2050 | 9,346,044 | |
10,695,000 | Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien, 3.900%, 6/1/2052 | 10,282,013 | |
4,300,000 | Comcast Corp., 3.375%, 2/15/2025 | 4,697,374 | |
10,000,000 | Comcast Corp., Sr. Unsecd. Note, 1.500%, 2/15/2031 | 9,300,322 | |
2,460,000 | Comcast Corp., Sr. Unsecd. Note, 2.800%, 1/15/2051 | 2,270,604 | |
4,570,000 | Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027 | 5,033,646 | |
8,290,000 | Comcast Corp., Sr. Unsecd. Note, 3.400%, 4/1/2030 | 9,042,127 | |
910,000 | Comcast Corp., Sr. Unsecd. Note, 3.450%, 2/1/2050 | 948,377 | |
2,325,000 | Comcast Corp., Sr. Unsecd. Note, 3.750%, 4/1/2040 | 2,555,495 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Communications - Cable & Satellite— continued | |||
$ 400,000 | Comcast Corp., Sr. Unsecd. Note, 3.900%, 3/1/2038 | $449,399 | |
3,380,000 | Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025 | 3,796,589 | |
580,000 | Comcast Corp., Sr. Unsecd. Note, 4.400%, 8/15/2035 | 688,198 | |
5,000,000 | Comcast Corp., Sr. Unsecd. Note, 4.950%, 10/15/2058 | 6,628,230 | |
3,000,000 | NBCUniversal, Inc., Sr. Unsecd. Note, 5.950%, 4/1/2041 | 4,230,566 | |
7,000,000 | Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041 | 8,430,997 | |
500,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 4.500%, 9/15/2042 | 540,670 | |
135,000 | Time Warner Cable, Inc., Sr. Unsecd. Note, 8.375%, 3/15/2023 | 153,520 | |
TOTAL | 91,426,278 | ||
Communications - Media & Entertainment— 0.9% | |||
10,000,000 | Alphabet, Inc., Sr. Unsecd. Note, 1.900%, 8/15/2040 | 8,841,599 | |
5,000,000 | British Sky Broadcasting Group PLC, 144A, 3.750%, 9/16/2024 | 5,493,901 | |
4,510,000 | Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049 | 5,776,964 | |
11,850,000 | Grupo Televisa S.A., 6.625%, 3/18/2025 | 14,072,241 | |
2,100,000 | Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045 | 2,429,076 | |
12,195,000 | Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041 | 12,149,021 | |
8,340,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030 | 8,301,958 | |
10,180,000 | Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031 | 10,155,724 | |
5,200,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.900%, 8/15/2044 | 6,075,728 | |
6,255,000 | ViacomCBS, Inc., Sr. Unsecd. Note, 4.950%, 1/15/2031 | 7,417,933 | |
7,570,000 | Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051 | 8,127,232 | |
3,155,000 | Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060 | 3,464,529 | |
1,700,000 | Walt Disney Co., Sr. Unsecd. Note, Series MTN, 3.750%, 6/1/2021 | 1,700,000 | |
TOTAL | 94,005,906 | ||
Communications - Telecom Wireless— 0.8% | |||
8,980,000 | America Movil S.A.B. de C.V., Sr. Unsecd. Note, 2.875%, 5/7/2030 | 9,349,320 | |
10,350,000 | American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030 | 10,022,009 | |
3,000,000 | American Tower Corp., Sr. Unsecd. Note, 3.700%, 10/15/2049 | 3,094,052 | |
3,500,000 | American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024 | 3,902,455 | |
2,250,000 | Crown Castle International Corp., Sr. Unsecd. Note, 2.250%, 1/15/2031 | 2,177,112 | |
6,175,000 | Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051 | 5,835,006 | |
8,400,000 | Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026 | 9,523,584 | |
14,000,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 3.875%, 4/15/2030 | 15,371,650 | |
3,350,000 | T-Mobile USA, Inc., Sec. Fac. Bond, 144A, 4.500%, 4/15/2050 | 3,795,249 | |
5,175,000 | T-Mobile USA, Inc., Sr. Sub. Note, 144A, 3.000%, 2/15/2041 | 4,865,949 | |
5,005,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025 | 5,609,166 | |
5,000,000 | Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050 | 5,548,404 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Communications - Telecom Wireless— continued | |||
$ 5,630,000 | Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048 | $7,111,436 | |
TOTAL | 86,205,392 | ||
Communications - Telecom Wirelines— 1.6% | |||
9,240,000 | AT&T, Inc., Sr. Unsecd. Note, 0.900%, 3/25/2024 | 9,266,209 | |
9,255,000 | AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026 | 9,339,414 | |
7,090,000 | AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041 | 7,124,897 | |
16,370,000 | AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051 | 16,393,764 | |
1,940,000 | AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060 | 1,944,649 | |
6,000,000 | AT&T, Inc., Sr. Unsecd. Note, 4.550%, 3/9/2049 | 6,790,959 | |
465,000 | AT&T, Inc., Sr. Unsecd. Note, 5.250%, 3/1/2037 | 575,148 | |
2,100,000 | AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047 | 2,657,098 | |
275,000 | AT&T, Inc., Sr. Unsecd. Note, 5.700%, 3/1/2057 | 364,785 | |
5,800,000 | AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041 | 7,978,127 | |
3,693,000 | AT&T, Inc., Sr. Unsecd. Note, 144A, 2.550%, 12/1/2033 | 3,570,714 | |
4,035,000 | AT&T, Inc., Sr. Unsecd. Note, 144A, 3.800%, 12/1/2057 | 3,980,568 | |
4,160,000 | AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058 | 5,032,458 | |
12,000,000 | Deutsche Telekom International Finance BV, Sr. Unsecd. Note, 144A, 3.600%, 1/19/2027 | 13,216,001 | |
5,000,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 4.570%, 4/27/2023 | 5,375,892 | |
5,000,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 4.895%, 3/6/2048 | 5,746,051 | |
3,925,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.213%, 3/8/2047 | 4,720,561 | |
4,525,000 | Telefonica Emisiones SAU, Sr. Unsecd. Note, 5.520%, 3/1/2049 | 5,625,675 | |
10,600,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026 | 10,708,049 | |
24,495,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041 | 24,940,080 | |
870,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050 | 953,075 | |
5,740,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046 | 6,467,204 | |
5,250,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.150%, 3/15/2024 | 5,731,682 | |
5,346,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 4.672%, 3/15/2055 | 6,598,691 | |
1,122,000 | Verizon Communications, Inc., Sr. Unsecd. Note, 144A, 2.987%, 10/30/2056 | 1,001,277 | |
TOTAL | 166,103,028 | ||
Consumer Cyclical - Automotive— 1.0% | |||
4,350,000 | Daimler Finance NA LLC, Sr. Unsub. Note, 144A, 1.450%, 3/2/2026 | 4,395,598 | |
2,400,000 | DaimlerChrysler North America Holding Corp., Company Guarantee, 8.500%, 1/18/2031 | 3,595,273 | |
5,540,000 | General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025 | 6,084,148 | |
260,000 | General Motors Co., Sr. Unsecd. Note, 5.150%, 4/1/2038 | 307,261 | |
10,175,000 | General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025 | 12,103,038 | |
2,790,000 | General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046 | 3,890,626 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Automotive— continued | |||
$ 5,365,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027 | $5,578,796 | |
410,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.950%, 4/13/2024 | 444,070 | |
10,000,000 | General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026 | 11,072,447 | |
4,745,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023 | 4,878,236 | |
15,305,000 | Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 10/15/2027 | 15,606,658 | |
8,680,000 | Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023 | 9,401,872 | |
2,700,000 | Toyota Motor Credit Corp., Sr. Unsecd. Note, Series GMTN, 2.700%, 1/11/2023 | 2,808,372 | |
6,000,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025 | 6,002,015 | |
7,800,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 3.125%, 5/12/2023 | 8,210,798 | |
3,045,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/12/2021 | 3,096,195 | |
4,650,000 | Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 4.250%, 11/13/2023 | 5,052,994 | |
TOTAL | 102,528,397 | ||
Consumer Cyclical - Gaming— 0.0% | |||
250,000 | GLP Capital LP / GLP Financing II, Inc., Sr. Unsecd. Note, 5.375%, 4/15/2026 | 285,768 | |
Consumer Cyclical - Lodging— 0.0% | |||
730,000 | American Campus Communities Operating Partnership LP, Sr. Unsecd. Note, 4.125%, 7/1/2024 | 798,044 | |
Consumer Cyclical - Retailers— 1.4% | |||
2,500,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027 | 2,486,755 | |
15,185,000 | Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030 | 16,743,688 | |
13,850,000 | Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050 | 14,264,139 | |
14,370,000 | AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030 | 16,926,326 | |
475,000 | 1 | AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025 | 520,488 |
6,835,000 | AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030 | 7,666,479 | |
2,480,000 | Costco Wholesale Corp., Sr. Unsecd. Note, 1.375%, 6/20/2027 | 2,495,771 | |
267,964 | CVS Health Corp., Pass Thru Cert., 144A, 5.298%, 1/11/2027 | 295,695 | |
1,200,000 | CVS Health Corp., Sr. Unsecd. Note, 2.700%, 8/21/2040 | 1,121,562 | |
2,500,000 | CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026 | 2,684,354 | |
8,500,000 | CVS Health Corp., Sr. Unsecd. Note, 3.375%, 8/12/2024 | 9,193,296 | |
205,000 | CVS Health Corp., Sr. Unsecd. Note, 3.700%, 3/9/2023 | 216,772 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Cyclical - Retailers— continued | |||
$ 74,000 | CVS Health Corp., Sr. Unsecd. Note, 4.100%, 3/25/2025 | $82,531 | |
2,430,000 | CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028 | 2,786,499 | |
3,815,000 | CVS Health Corp., Sr. Unsecd. Note, 4.780%, 3/25/2038 | 4,549,350 | |
12,745,000 | CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048 | 15,759,583 | |
1,760,000 | CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045 | 2,198,374 | |
4,670,000 | Dollar General Corp., Sr. Unsecd. Note, 4.150%, 11/1/2025 | 5,242,986 | |
9,180,000 | Dollar Tree, Inc., Sr. Unsecd. Note, 3.700%, 5/15/2023 | 9,739,365 | |
4,205,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.700%, 4/15/2030 | 4,436,288 | |
2,300,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.800%, 9/14/2027 | 2,494,968 | |
3,690,000 | Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029 | 3,982,149 | |
12,000,000 | Home Depot, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2024 | 12,998,235 | |
5,185,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031 | 4,901,411 | |
2,370,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 3.550%, 3/15/2026 | 2,635,723 | |
3,750,000 | O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030 | 4,281,344 | |
365,000 | WalMart, Inc., Sr. Unsecd. Note, 5.625%, 4/1/2040 | 512,084 | |
TOTAL | 151,216,215 | ||
Consumer Cyclical - Services— 0.6% | |||
295,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 2.125%, 2/9/2031 | 286,103 | |
10,000,000 | Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.600%, 11/28/2024 | 10,870,772 | |
5,130,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027 | 5,663,529 | |
5,000,000 | Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037 | 5,754,357 | |
165,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 2.750%, 3/15/2023 | 171,669 | |
5,585,000 | Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030 | 6,536,063 | |
2,100,000 | Boston University, Series MTNA, 7.625%, 7/15/2097 | 2,647,389 | |
6,700,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027 | 7,534,059 | |
589,000 | Cintas Corp. No. 2, Sr. Unsecd. Note, 4.300%, 6/1/2021 | 589,000 | |
10,130,000 | Expedia Group, Inc., Sr. Unsecd. Note, 144A, 2.950%, 3/15/2031 | 10,117,512 | |
325,000 | Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 3.250%, 2/15/2030 | 333,070 | |
2,340,000 | 1 | University of Southern California, Sr. Unsecd. Note, 5.250%, 10/1/2111 | 3,437,753 |
4,420,000 | Visa, Inc., Sr. Unsecd. Note, 2.750%, 9/15/2027 | 4,788,179 | |
3,300,000 | Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025 | 3,620,636 | |
350,000 | Visa, Inc., Sr. Unsecd. Note, 4.150%, 12/14/2035 | 420,231 | |
TOTAL | 62,770,322 | ||
Consumer Non-Cyclical - Food/Beverage— 2.3% | |||
870,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.700%, 2/1/2036 | 1,038,153 | |
11,000,000 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046 | 13,210,075 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Food/Beverage— continued | |||
$ 1,390,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 2/1/2046 | $1,664,504 | |
6,960,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048 | 7,921,779 | |
3,000,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2050 | 3,447,568 | |
10,030,000 | Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.600%, 4/15/2048 | 11,639,158 | |
3,375,000 | Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026 | 3,542,254 | |
5,100,000 | Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027 | 5,069,081 | |
4,305,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 1.850%, 9/1/2032 | 4,055,611 | |
9,164,000 | Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030 | 9,408,037 | |
17,450,000 | Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027 | 16,992,241 | |
5,000,000 | Constellation Brands, Inc., 4.250%, 5/1/2023 | 5,357,057 | |
1,690,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050 | 1,785,339 | |
6,640,000 | Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028 | 7,741,328 | |
3,575,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031 | 3,536,941 | |
5,160,000 | Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026 | 5,627,582 | |
8,000,000 | General Mills, Inc., Sr. Unsecd. Note, 3.700%, 10/17/2023 | 8,610,510 | |
2,937,000 | 1 | General Mills, Inc., Sr. Unsecd. Note, 144A, 3.000%, 2/1/2051 | 2,846,359 |
3,250,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024 | 3,542,373 | |
1,980,000 | Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 4.500%, 1/25/2022 | 2,028,023 | |
2,810,000 | Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047 | 3,401,410 | |
12,840,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027 | 12,776,211 | |
7,500,000 | International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030 | 7,371,711 | |
5,965,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 3.200%, 5/1/2030 | 6,350,814 | |
1,430,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.057%, 5/25/2023 | 1,529,927 | |
3,140,000 | Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025 | 3,540,360 | |
15,060,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046 | 16,175,300 | |
230,000 | Kraft Heinz Foods Co., Sr. Unsecd. Note, 5.000%, 6/4/2042 | 267,702 | |
5,000,000 | Mead Johnson Nutrition Co., Sr. Unsecd. Note, 4.600%, 6/1/2044 | 6,309,460 | |
4,480,000 | Mondelez International, Inc., Sr. Unsecd. Note, 1.500%, 5/4/2025 | 4,585,929 | |
6,100,000 | PepsiCo, Inc., 2.750%, 4/30/2025 | 6,562,338 | |
5,990,000 | PepsiCo, Inc., Sr. Unsecd. Note, 3.625%, 3/19/2050 | 6,668,120 | |
150,000 | Ralston Purina Co., Deb., 7.875%, 6/15/2025 | 183,982 | |
200,000 | Ralston Purina Co., Deb., 8.125%, 2/1/2023 | 221,171 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Food/Beverage— continued | |||
$ 14,670,000 | Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030 | $14,653,716 | |
11,155,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030 | 11,200,913 | |
6,865,000 | Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025 | 7,508,130 | |
12,300,000 | Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048 | 14,250,771 | |
1,450,000 | Tyson Foods, Inc., 5.150%, 8/15/2044 | 1,829,963 | |
1,970,000 | Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027 | 2,183,297 | |
TOTAL | 246,635,198 | ||
Consumer Non-Cyclical - Health Care— 0.8% | |||
7,240,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030 | 7,331,337 | |
5,000,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.750%, 9/23/2026 | 5,307,526 | |
7,355,000 | Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029 | 7,665,839 | |
2,620,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 1.957%, 2/11/2031 | 2,515,531 | |
1,690,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024 | 1,850,918 | |
9,570,000 | Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050 | 10,269,702 | |
10,220,000 | Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050 | 9,343,551 | |
11,545,000 | Dentsply Sirona, Inc., Sr. Unsecd. Note, 3.250%, 6/1/2030 | 12,209,339 | |
3,270,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029 | 3,389,210 | |
1,000,000 | DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 3.400%, 11/15/2049 | 1,048,862 | |
6,515,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 2.550%, 3/15/2031 | 6,549,101 | |
8,325,000 | PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029 | 8,904,688 | |
4,035,000 | Stryker Corp., Sr. Unsecd. Note, 0.600%, 12/1/2023 | 4,039,745 | |
1,995,000 | Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 4.133%, 3/25/2025 | 2,224,753 | |
TOTAL | 82,650,102 | ||
Consumer Non-Cyclical - Pharmaceuticals— 1.9% | |||
5,128,000 | Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026 | 5,807,113 | |
9,050,000 | Abbott Laboratories, Sr. Unsecd. Note, 4.900%, 11/30/2046 | 11,934,021 | |
6,380,000 | AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029 | 6,848,503 | |
13,210,000 | AbbVie, Inc., Sr. Unsecd. Note, 4.250%, 11/21/2049 | 15,237,771 | |
2,000,000 | Amgen, Inc., Sr. Unsecd. Note, 3.625%, 5/22/2024 | 2,171,226 | |
375,000 | Amgen, Inc., Sr. Unsecd. Note, 4.400%, 5/1/2045 | 440,045 | |
1,975,000 | Astrazeneca Finance LLC, Sr. Unsecd. Note, 2.250%, 5/28/2031 | 1,980,889 | |
3,775,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.125%, 8/6/2050 | 3,124,733 | |
7,410,000 | AstraZeneca PLC, Sr. Unsecd. Note, 2.375%, 6/12/2022 | 7,560,116 | |
7,000,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027 | 7,657,847 | |
7,000,000 | AstraZeneca PLC, Sr. Unsecd. Note, 3.500%, 8/17/2023 | 7,468,214 | |
5,050,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 3.875%, 12/15/2023 | 5,435,242 | |
5,250,000 | Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025 | 5,889,858 | |
2,455,000 | Bayer US Finance LLC, Sr. Unsecd. Note, 144A, 3.375%, 10/8/2024 | 2,657,135 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Consumer Non-Cyclical - Pharmaceuticals— continued | |||
$ 5,000,000 | Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030 | $4,935,391 | |
12,625,000 | Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050 | 11,780,152 | |
10,140,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, 0.750%, 11/13/2025 | 10,088,179 | |
9,100,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 3.900%, 2/20/2028 | 10,352,945 | |
260,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.125%, 6/15/2039 | 307,185 | |
3,000,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.350%, 11/15/2047 | 3,640,532 | |
2,475,000 | Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 5.000%, 8/15/2045 | 3,253,614 | |
1,000,000 | Johnson & Johnson, 5.950%, 8/15/2037 | 1,439,044 | |
500,000 | Johnson & Johnson, Sr. Unsecd. Note, 3.550%, 3/1/2036 | 572,232 | |
15,850,000 | Merck & Co., Inc., Sr. Unsecd. Note, 3.400%, 3/7/2029 | 17,643,818 | |
17,652,000 | Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050 | 15,442,443 | |
21,600,000 | Royalty Pharma PLC, Sr. Unsecd. Note, 144A, 1.750%, 9/2/2027 | 21,410,741 | |
6,870,000 | Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030 | 6,709,198 | |
11,215,000 | Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050 | 11,109,573 | |
TOTAL | 202,897,760 | ||
Consumer Non-Cyclical - Products— 0.1% | |||
3,060,000 | Church and Dwight, Inc., Sr. Unsecd. Note, 3.150%, 8/1/2027 | 3,346,717 | |
500,000 | Procter & Gamble Co., 2.300%, 2/6/2022 | 507,525 | |
2,390,000 | Unilever Capital Corp., Sr. Unsecd. Note, 0.375%, 9/14/2023 | 2,397,672 | |
TOTAL | 6,251,914 | ||
Consumer Non-Cyclical - Supermarkets— 0.0% | |||
3,000,000 | Kroger Co., Bond, 6.900%, 4/15/2038 | 4,320,701 | |
Consumer Non-Cyclical - Tobacco— 0.4% | |||
9,075,000 | Altria Group, Inc., Sr. Unsecd. Note, 5.950%, 2/14/2049 | 11,165,831 | |
4,490,000 | Bat Capital Corp., Sr. Unsecd. Note, 2.789%, 9/6/2024 | 4,733,701 | |
5,000,000 | Bat Capital Corp., Sr. Unsecd. Note, 3.734%, 9/25/2040 | 4,709,058 | |
3,000,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 0.875%, 5/1/2026 | 2,970,466 | |
7,770,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030 | 7,606,379 | |
1,960,000 | Philip Morris International, Inc., Sr. Unsecd. Note, 3.875%, 8/21/2042 | 2,085,594 | |
5,335,000 | Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025 | 5,934,236 | |
5,450,000 | Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045 | 6,352,402 | |
TOTAL | 45,557,667 | ||
Energy - Independent— 0.5% | |||
7,000,000 | Canadian Natural Resources Ltd., 3.900%, 2/1/2025 | 7,625,879 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Energy - Independent— continued | |||
$ 5,230,000 | Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025 | $5,368,250 | |
12,625,000 | Cimarex Energy Co., Sr. Unsecd. Note, 3.900%, 5/15/2027 | 13,889,152 | |
1,730,000 | Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029 | 1,944,217 | |
12,265,000 | Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027 | 13,802,414 | |
10,310,000 | Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031 | 9,913,971 | |
610,000 | 1 | XTO Energy, Inc., 6.750%, 8/1/2037 | 882,885 |
TOTAL | 53,426,768 | ||
Energy - Integrated— 0.6% | |||
5,815,000 | 1 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 1.749%, 8/10/2030 | 5,583,502 |
4,990,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.000%, 2/24/2050 | 4,638,889 | |
2,485,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026 | 2,710,356 | |
365,000 | BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.224%, 4/14/2024 | 391,812 | |
100,000 | BP PLC, Deb., 8.750%, 3/1/2032 | 152,119 | |
8,520,000 | Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050 | 8,484,324 | |
3,400,000 | Chevron Corp., Sr. Unsecd. Note, 3.191%, 6/24/2023 | 3,577,034 | |
4,030,000 | CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041 | 5,400,627 | |
4,000,000 | Conoco, Inc., 7.250%, 10/15/2031 | 5,757,407 | |
205,000 | ConocoPhillips, Company Guarantee, 6.500%, 2/1/2039 | 296,949 | |
6,305,000 | Husky Energy, Inc., 4.000%, 4/15/2024 | 6,773,319 | |
450,000 | Petro-Canada, Sr. Unsecd. Note, 6.800%, 5/15/2038 | 631,253 | |
3,770,000 | Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026 | 4,099,878 | |
3,025,000 | Shell International Finance B.V., Sr. Unsecd. Note, 4.000%, 5/10/2046 | 3,449,913 | |
10,510,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051 | 10,869,213 | |
3,550,000 | Suncor Energy, Inc., Sr. Unsecd. Note, 6.500%, 6/15/2038 | 4,852,234 | |
TOTAL | 67,668,829 | ||
Energy - Midstream— 1.2% | |||
5,815,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031 | 6,029,508 | |
9,240,000 | Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029 | 10,542,047 | |
4,000,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025 | 4,516,388 | |
2,400,000 | Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045 | 3,105,462 | |
1,210,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series B, 3.000%, 11/15/2029 | 1,271,598 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Energy - Midstream— continued | |||
$ 3,715,000 | Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series C, 3.900%, 11/15/2049 | $3,915,534 | |
10,375,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050 | 11,480,678 | |
785,000 | Energy Transfer Operating, Sr. Unsecd. Note, 5.500%, 6/1/2027 | 919,698 | |
360,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.050%, 3/15/2025 | 391,229 | |
10,000,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024 | 10,934,951 | |
225,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045 | 271,527 | |
4,270,000 | Energy Transfer Partners LP, Sr. Unsecd. Note, Series 30Y, 6.000%, 6/15/2048 | 5,175,643 | |
5,000,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048 | 5,506,203 | |
6,250,000 | Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044 | 7,414,478 | |
1,650,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 5.800%, 3/15/2035 | 2,084,960 | |
5,870,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041 | 7,876,833 | |
520,000 | Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, Series MTN, 6.950%, 1/15/2038 | 724,622 | |
3,320,000 | Kinder Morgan, Inc., Sr. Unsecd. Note, 3.250%, 8/1/2050 | 3,053,706 | |
320,000 | MPLX LP, Sr. Unsecd. Note, 4.500%, 4/15/2038 | 355,341 | |
5,200,000 | 1 | MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058 | 5,859,525 |
2,220,000 | MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027 | 2,515,425 | |
1,631,000 | ONEOK, Inc., Sr. Unsecd. Note, 2.200%, 9/15/2025 | 1,679,573 | |
8,390,000 | ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047 | 9,433,691 | |
4,710,000 | 1 | TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027 | 5,201,729 |
3,850,000 | Texas Eastern Transmission LP, Sr. Unsecd. Note, 144A, 2.800%, 10/15/2022 | 3,943,924 | |
225,000 | Williams Partners LP, Sr. Unsecd. Note, 4.850%, 3/1/2048 | 260,567 | |
7,275,000 | Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045 | 8,323,717 | |
TOTAL | 122,788,557 | ||
Energy - Oil Field Services— 0.1% | |||
175,000 | Burlington Resources, LLC., Sr. Unsecd. Note, 7.200%, 8/15/2031 | 249,094 | |
4,388,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 3.900%, 5/17/2028 | 4,842,450 | |
615,000 | Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025 | 686,969 | |
TOTAL | 5,778,513 | ||
Energy - Refining— 0.5% | |||
535,000 | HollyFrontier Corp., Sr. Unsecd. Note, 5.875%, 4/1/2026 | 618,021 | |
325,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.500%, 4/1/2048 | 358,721 | |
11,295,000 | Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044 | 12,932,641 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Energy - Refining— continued | |||
$ 6,615,000 | Phillips 66, Sr. Unsecd. Note, 0.900%, 2/15/2024 | $6,629,140 | |
5,255,000 | Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026 | 5,271,428 | |
7,360,000 | Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044 | 8,856,183 | |
4,020,000 | Valero Energy Corp., 7.500%, 4/15/2032 | 5,525,674 | |
9,100,000 | Valero Energy Corp., Sr. Unsecd. Note, 2.150%, 9/15/2027 | 9,157,400 | |
395,000 | Valero Energy Corp., Sr. Unsecd. Note, 4.350%, 6/1/2028 | 444,743 | |
TOTAL | 49,793,951 | ||
Financial Institution - Banking— 6.2% | |||
4,995,000 | American Express Co., 2.650%, 12/2/2022 | 5,177,653 | |
355,000 | American Express Co., Sr. Unsecd. Note, 3.000%, 10/30/2024 | 384,104 | |
10,720,000 | Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025 | 11,737,379 | |
8,185,000 | Bank of America Corp., Sr. Unsecd. Note, 2.592%, 4/29/2031 | 8,337,780 | |
5,440,000 | Bank of America Corp., Sr. Unsecd. Note, 2.687%, 4/22/2032 | 5,519,402 | |
11,460,000 | Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028 | 12,528,750 | |
5,400,000 | Bank of America Corp., Sr. Unsecd. Note, Series GMTN, 3.593%, 7/21/2028 | 5,954,037 | |
7,000,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.898%, 7/23/2031 | 6,694,813 | |
23,225,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 1.922%, 10/24/2031 | 22,210,875 | |
10,235,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 2.884%, 10/22/2030 | 10,651,830 | |
8,440,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.824%, 1/20/2028 | 9,424,488 | |
10,000,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.970%, 3/5/2029 | 11,195,381 | |
1,622,000 | Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.000%, 4/1/2024 | 1,782,207 | |
3,500,000 | Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025 | 3,865,559 | |
560,000 | Bank of America Corp., Sub. Note, Series MTN, 4.200%, 8/26/2024 | 619,500 | |
660,000 | Bank of America Corp., Sub. Note, Series MTN, 4.450%, 3/3/2026 | 752,954 | |
6,840,000 | Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024 | 7,451,321 | |
1,740,000 | Bank of New York Mellon Corp., Sub. Note, Series MTN, 3.000%, 10/30/2028 | 1,876,843 | |
480,000 | Bank of New York Mellon, N.A., 3.400%, 5/15/2024 | 520,309 | |
4,200,000 | 1 | Capital One Bank, Series BKNT, 2.950%, 7/23/2021 | 4,208,116 |
2,100,000 | Capital One Bank, Sub. Note, 3.375%, 2/15/2023 | 2,204,582 | |
2,160,000 | Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024 | 2,341,574 | |
15,085,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.572%, 6/3/2031 | 15,274,516 | |
3,970,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.750%, 4/25/2022 | 4,051,384 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 895,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.876%, 7/24/2023 | $921,394 | |
5,665,000 | Citigroup, Inc., Sr. Unsecd. Note, 2.976%, 11/5/2030 | 5,931,794 | |
9,070,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.106%, 4/8/2026 | 9,738,784 | |
10,215,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.142%, 1/24/2023 | 10,400,270 | |
7,000,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.300%, 4/27/2025 | 7,644,840 | |
2,320,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.352%, 4/24/2025 | 2,493,023 | |
5,000,000 | Citigroup, Inc., Sr. Unsecd. Note, 3.887%, 1/10/2028 | 5,582,290 | |
10,000,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.412%, 3/31/2031 | 11,510,203 | |
3,080,000 | Citigroup, Inc., Sr. Unsecd. Note, 4.500%, 1/14/2022 | 3,161,439 | |
345,000 | Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027 | 395,172 | |
13,600,000 | Citizens Financial Group, Inc., Sub. Note, 144A, 2.638%, 9/30/2032 | 13,475,023 | |
6,770,000 | Comerica, Inc., 3.800%, 7/22/2026 | 7,530,686 | |
6,980,000 | Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025 | 7,684,890 | |
7,540,000 | Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024 | 8,123,989 | |
4,280,000 | Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027 | 4,494,548 | |
14,145,000 | FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023 | 14,408,057 | |
5,815,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032 | 5,556,122 | |
10,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.600%, 2/7/2030 | 10,279,874 | |
2,100,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.905%, 7/24/2023 | 2,159,562 | |
2,200,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.908%, 6/5/2023 | 2,256,237 | |
1,275,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.200%, 2/23/2023 | 1,335,020 | |
12,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026 | 13,118,203 | |
6,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.691%, 6/5/2028 | 6,639,253 | |
10,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.800%, 3/15/2030 | 11,149,966 | |
8,000,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.814%, 4/23/2029 | 8,875,189 | |
500,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 5.250%, 7/27/2021 | 503,879 | |
1,300,000 | Goldman Sachs Group, Inc., Sr. Unsecd. Note, 5.750%, 1/24/2022 | 1,346,552 | |
500,000 | HSBC Holdings PLC, Jr. Sub. Note, 6.375%, 9/30/2069 | 553,987 | |
7,445,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 1.589%, 5/24/2027 | 7,478,168 | |
2,400,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.262%, 3/13/2023 | 2,455,554 | |
10,000,000 | HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026 | 11,159,834 | |
4,450,000 | HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024 | 4,838,503 | |
4,500,000 | Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025 | 5,017,392 | |
720,000 | 1 | JPMorgan Chase & Co., Jr. Sub. Deb., Series X, 6.100%, 4/1/2170 | 781,650 |
610,000 | JPMorgan Chase & Co., Jr. Sub. Note, Series FF, 5.000%, 2/1/2170 | 641,754 | |
15,175,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.764%, 11/19/2031 | 14,361,562 | |
3,990,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032 | 3,813,377 | |
15,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.522%, 4/22/2031 | 15,224,141 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 10,350,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032 | $10,435,527 | |
2,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.300%, 4/1/2026 | 2,196,638 | |
7,450,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029 | 8,169,360 | |
10,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.540%, 5/1/2028 | 11,029,769 | |
410,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.559%, 4/23/2024 | 433,931 | |
10,000,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.702%, 5/6/2030 | 11,088,550 | |
235,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 3.882%, 7/24/2038 | 264,499 | |
245,000 | JPMorgan Chase & Co., Sr. Unsecd. Note, 4.023%, 12/5/2024 | 265,652 | |
4,000,000 | JPMorgan Chase & Co., Sub. Note, 3.375%, 5/1/2023 | 4,230,161 | |
635,000 | Lloyds Banking Group PLC, Sub. Note, 4.650%, 3/24/2026 | 720,885 | |
2,550,000 | M&T Bank Corp., Sr. Unsecd. Note, 3.550%, 7/26/2023 | 2,722,847 | |
5,000,000 | Manufacturers & Traders Trust Co., Sr. Unsecd. Note, Series BKNT, 2.500%, 5/18/2022 | 5,102,523 | |
4,905,000 | Morgan Stanley, Sr. Unsecd. Note, 1.593%, 5/4/2027 | 4,952,227 | |
1,665,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.699%, 1/22/2031 | 1,719,598 | |
425,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.125%, 1/23/2023 | 444,743 | |
12,000,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029 | 13,352,070 | |
685,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 4.000%, 7/23/2025 | 766,214 | |
12,000,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 4.431%, 1/23/2030 | 13,945,043 | |
500,000 | Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 5.500%, 7/28/2021 | 504,102 | |
11,990,000 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032 | 11,311,692 | |
2,000,000 | 2 | Morgan Stanley, Sr. Unsecd. Note, Series MTN, 3.676% (US CPI Urban Consumers YoY NSA +2.000%), 5/17/2023 | 2,093,741 |
5,285,000 | Morgan Stanley, Sub. Deb., 4.875%, 11/1/2022 | 5,613,763 | |
5,000,000 | Morgan Stanley, Sub. Note, 3.950%, 4/23/2027 | 5,638,852 | |
6,300,000 | Morgan Stanley, Sub. Note, Series MTN, 4.100%, 5/22/2023 | 6,742,169 | |
500,000 | Natwest Group PLC, Sub. Deb., 6.125%, 12/15/2022 | 540,713 | |
160,000 | Natwest Group PLC, Sub. Note, 6.000%, 12/19/2023 | 180,332 | |
5,000,000 | PNC Bank, N.A., Sr. Unsecd. Note, Series BKNT, 2.550%, 12/9/2021 | 5,052,180 | |
5,100,000 | PNC Bank, N.A., Sr. Unsecd. Note, Series BKNT, 3.250%, 1/22/2028 | 5,583,583 | |
6,215,000 | PNC Bank, N.A., Sub. Note, Series BKNT, 2.700%, 11/1/2022 | 6,418,753 | |
3,245,000 | PNC Financial Services Group, Sr. Unsecd. Note, 2.550%, 1/22/2030 | 3,364,163 | |
63,917 | 3 | Regional Diversified Funding, 144A, 9.250%, 3/15/2030 | 26,845 |
6,105,000 | Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025 | 6,387,310 | |
3,000,000 | State Street Corp., Sr. Unsecd. Note, 3.550%, 8/18/2025 | 3,346,022 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Banking— continued | |||
$ 1,930,000 | 1 | State Street Corp., Sr. Unsecd. Note, Series WI, 2.825%, 3/30/2023 | $1,971,730 |
370,000 | State Street Corp., Sub. Deb., 3.031%, 11/1/2034 | 388,809 | |
8,000,000 | State Street Corp., Sub. Note, 2.200%, 3/3/2031 | 7,915,982 | |
2,495,000 | Synovus Bank GA, Sr. Unsecd. Note, 2.289%, 2/10/2023 | 2,517,285 | |
350,000 | Truist Bank, Sub. Deb., Series BKNT, 2.636%, 9/17/2029 | 368,224 | |
3,310,000 | Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026 | 3,644,708 | |
10,250,000 | Truist Bank, Sub. Note, Series BKNT, 3.800%, 10/30/2026 | 11,503,164 | |
4,000,000 | Truist Financial Corp., Sr. Unsecd. Note, 4.000%, 5/1/2025 | 4,461,620 | |
500,000 | Truist Financial Corp., Sub. Note, 6.000%, 2/15/2026 | 604,307 | |
10,335,000 | US Bancorp, Sr. Unsecd. Note, Series MTN, 1.375%, 7/22/2030 | 9,751,325 | |
265,000 | Wells Fargo & Co., Series MTN, 4.100%, 6/3/2026 | 298,619 | |
12,570,000 | Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026 | 13,112,063 | |
8,400,000 | Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026 | 9,109,957 | |
10,825,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.393%, 6/2/2028 | 11,256,167 | |
10,240,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.879%, 10/30/2030 | 10,735,899 | |
18,650,000 | Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028 | 20,619,815 | |
435,000 | Westpac Banking Corp., Sub. Note, Series GMTN, 4.322%, 11/23/2031 | 485,472 | |
TOTAL | 661,197,141 | ||
Financial Institution - Broker/Asset Mgr/Exchange— 0.4% | |||
2,845,000 | BlackRock, Inc., Sr. Unsecd. Note, 1.900%, 1/28/2031 | 2,796,562 | |
2,645,000 | FMR LLC, Bond, 144A, 7.570%, 6/15/2029 | 3,688,435 | |
2,810,000 | Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026 | 3,121,291 | |
4,220,000 | Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032 | 4,167,815 | |
3,265,000 | Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028 | 3,726,245 | |
4,105,000 | Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030 | 4,877,464 | |
3,580,000 | Stifel Financial Corp., 4.250%, 7/18/2024 | 3,962,396 | |
5,240,000 | Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030 | 5,750,907 | |
5,085,000 | TIAA Asset Management Finance Co. LLC, Sr. Unsecd. Note, 144A, 4.125%, 11/1/2024 | 5,635,439 | |
435,000 | XLIT Ltd., Sub. Note, 4.450%, 3/31/2025 | 490,470 | |
TOTAL | 38,217,024 | ||
Financial Institution - Finance Companies— 0.5% | |||
6,500,000 | Discover Bank, Sr. Unsecd. Note, Series BKNT, 4.650%, 9/13/2028 | 7,539,781 | |
3,975,000 | Discover Financial Services, Sr. Unsecd. Note, 3.850%, 11/21/2022 | 4,172,494 | |
18,370,000 | GE Capital Funding LLC, Sr. Unsecd. Note, 144A, 4.400%, 5/15/2030 | 21,135,714 | |
12,753,000 | GE Capital International Funding, Inc., Sr. Unsecd. Note, 4.418%, 11/15/2035 | 14,847,653 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Finance Companies— continued | |||
$ 250,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | $265,508 | |
743,000 | Susa Partnership LP, Deb., 7.500%, 12/1/2027 | 953,433 | |
TOTAL | 48,914,583 | ||
Financial Institution - Insurance - Health— 0.0% | |||
5,080,000 | UnitedHealth Group, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2050 | 4,933,084 | |
Financial Institution - Insurance - Life— 1.2% | |||
10,200,000 | AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029 | 11,176,454 | |
11,000,000 | American International Group, Inc., 4.500%, 7/16/2044 | 12,840,605 | |
2,600,000 | American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024 | 2,842,899 | |
2,500,000 | American International Group, Inc., Sr. Unsecd. Note, 4.875%, 6/1/2022 | 2,614,742 | |
3,600,000 | AXA-UAP, Sub. Note, 8.600%, 12/15/2030 | 5,457,108 | |
5,535,000 | Belrose Funding Trust, Sr. Unsecd. Note, 2.330%, 8/15/2030 | 5,389,868 | |
7,780,000 | Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040 | 11,487,005 | |
2,650,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 5.375%, 12/1/2041 | 3,425,234 | |
4,968,000 | Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039 | 7,763,230 | |
330,000 | MetLife, Inc., Jr. Sub. Note, 6.400%, 12/15/2036 | 422,242 | |
2,200,000 | MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039 | 3,716,096 | |
5,000,000 | MetLife, Inc., Sr. Unsecd. Note, 4.050%, 3/1/2045 | 5,731,124 | |
3,970,000 | MetLife, Inc., Sr. Unsecd. Note, 4.550%, 3/23/2030 | 4,708,384 | |
16,268,000 | Northwestern Mutual Life Insurance Co., Sr. Unsecd. Note, 144A, 3.625%, 9/30/2059 | 16,739,638 | |
5,060,000 | Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067 | 5,606,834 | |
3,000,000 | 1 | Pacific LifeCorp., Bond, 144A, 6.600%, 9/15/2033 | 4,211,432 |
2,070,000 | Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040 | 2,991,334 | |
5,450,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 3.100%, 11/15/2026 | 5,926,356 | |
2,190,000 | Principal Financial Group, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2022 | 2,274,067 | |
8,000,000 | Prudential Financial, Inc., Series MTN, 5.100%, 8/15/2043 | 9,365,030 | |
1,050,000 | Prudential Financial, Inc., Series MTN, 6.625%, 12/1/2037 | 1,504,206 | |
2,050,000 | Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 6.200%, 11/15/2040 | 2,799,602 | |
TOTAL | 128,993,490 | ||
Financial Institution - Insurance - P&C— 0.7% | |||
1,000,000 | Assured Guaranty US Holding, Inc., 7.000%, 6/1/2034 | 1,325,058 | |
255,000 | Berkshire Hathaway Finance Corp., Sr. Unsecd. Note, 4.200%, 8/15/2048 | 303,396 | |
3,500,000 | Berkshire Hathaway, Inc., Sr. Unsecd. Note, 3.125%, 3/15/2026 | 3,839,680 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - Insurance - P&C— continued | |||
$ 4,350,000 | Chubb INA Holdings, Inc., 3.350%, 5/3/2026 | $4,786,070 | |
10,175,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030 | 9,550,181 | |
3,700,000 | Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024 | 4,010,700 | |
1,000,000 | Cincinnati Financial Corp., 6.920%, 5/15/2028 | 1,299,906 | |
2,395,000 | CNA Financial Corp., Sr. Unsecd. Note, 2.050%, 8/15/2030 | 2,322,209 | |
7,895,000 | CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029 | 8,785,934 | |
4,930,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 3.600%, 8/19/2049 | 5,186,574 | |
2,500,000 | Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042 | 3,474,341 | |
1,103,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/15/2023 | 1,184,943 | |
6,862,000 | Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029 | 7,946,609 | |
4,100,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 4.950%, 4/22/2044 | 4,779,809 | |
6,600,000 | Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039 | 11,126,999 | |
335,000 | Teachers Insurance & Annuity Association of America, Sub. Note, 144A, 4.900%, 9/15/2044 | 417,624 | |
7,295,000 | Travelers Cos., Inc., Sr. Unsecd. Note, 2.550%, 4/27/2050 | 6,676,136 | |
TOTAL | 77,016,169 | ||
Financial Institution - REIT - Apartment— 0.5% | |||
12,130,000 | Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027 | 13,279,942 | |
2,240,000 | Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030 | 2,328,775 | |
3,745,000 | Mid-America Apartment Communities LP, 4.000%, 11/15/2025 | 4,165,107 | |
5,100,000 | Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024 | 5,524,624 | |
3,360,000 | Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031 | 3,139,681 | |
3,910,000 | Post Apartment Homes LP, Sr. Unsecd. Note, 3.375%, 12/1/2022 | 4,052,075 | |
1,905,000 | UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034 | 1,956,337 | |
2,100,000 | UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028 | 2,269,935 | |
10,100,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.100%, 8/1/2032 | 9,539,461 | |
8,350,000 | UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.100%, 6/15/2033 | 7,853,705 | |
TOTAL | 54,109,642 | ||
Financial Institution - REIT - Healthcare— 0.4% | |||
3,000,000 | Health Care REIT, Inc., Sr. Unsecd. Note, 4.000%, 6/1/2025 | 3,323,710 | |
7,680,000 | Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031 | 7,278,985 | |
4,110,000 | Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030 | 4,296,564 | |
5,000,000 | Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028 | 5,406,127 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Financial Institution - REIT - Healthcare— continued | |||
$ 3,650,000 | Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027 | $4,121,801 | |
6,155,000 | Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031 | 6,241,002 | |
6,050,000 | Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031 | 6,124,963 | |
2,500,000 | Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026 | 2,825,086 | |
TOTAL | 39,618,238 | ||
Financial Institution - REIT - Office— 0.2% | |||
5,310,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033 | 4,910,363 | |
2,220,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 3.950%, 1/15/2027 | 2,482,362 | |
5,000,000 | Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030 | 6,009,374 | |
5,330,000 | Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025 | 5,722,010 | |
1,180,000 | Boston Properties LP, Sr. Unsecd. Note, 3.250%, 1/30/2031 | 1,239,524 | |
4,000,000 | Boston Properties LP, Sr. Unsecd. Note, 3.850%, 2/1/2023 | 4,190,810 | |
TOTAL | 24,554,443 | ||
Financial Institution - REIT - Other— 0.2% | |||
440,000 | Host Hotels & Resorts LP, Sr. Unsecd. Note, Series D, 3.750%, 10/15/2023 | 464,944 | |
7,400,000 | WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031 | 7,223,664 | |
2,925,000 | WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029 | 3,201,465 | |
10,000,000 | WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024 | 10,983,977 | |
TOTAL | 21,874,050 | ||
Financial Institution - REIT - Retail— 0.2% | |||
3,390,000 | Kimco Realty Corp., Sr. Unsecd. Note, 1.900%, 3/1/2028 | 3,377,802 | |
8,810,000 | Kimco Realty Corp., Sr. Unsecd. Note, 2.800%, 10/1/2026 | 9,363,385 | |
1,530,000 | Kimco Realty Corp., Sr. Unsecd. Note, 3.400%, 11/1/2022 | 1,587,114 | |
3,330,000 | Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028 | 3,690,504 | |
1,096,000 | Tanger Properties LP, Sr. Unsecd. Note, 3.875%, 12/1/2023 | 1,163,423 | |
TOTAL | 19,182,228 | ||
Municipal Services— 0.0% | |||
743,231 | Army Hawaii Family Housing, 144A, 5.524%, 6/15/2050 | 959,292 | |
1,415,000 | Camp Pendleton & Quantico Housing LLC, 5.572%, 10/1/2050 | 1,663,691 | |
TOTAL | 2,622,983 | ||
Sovereign— 0.0% | |||
3,700,000 | Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027 | 4,777,493 | |
Supranational— 0.0% | |||
1,875,000 | Corp Andina De Fomento, Sr. Unsecd. Note, 4.375%, 6/15/2022 | 1,954,547 | |
Technology— 2.2% | |||
2,000,000 | Apple, Inc., 3.450%, 5/6/2024 | 2,178,110 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Technology— continued | |||
$ 555,000 | Apple, Inc., 3.850%, 5/4/2043 | $633,978 | |
3,965,000 | Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041 | 3,698,463 | |
7,000,000 | Apple, Inc., Sr. Unsecd. Note, 2.900%, 9/12/2027 | 7,621,507 | |
9,600,000 | Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044 | 11,843,768 | |
6,800,000 | Automatic Data Processing, Inc., 3.375%, 9/15/2025 | 7,507,766 | |
2,327,000 | Broadcom, Inc., Sr. Unsecd. Note, 3.150%, 11/15/2025 | 2,502,121 | |
7,228,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028 | 7,993,154 | |
6,850,000 | Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030 | 7,506,930 | |
9,953,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033 | 10,161,292 | |
1,815,000 | Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2051 | 1,766,358 | |
2,000,000 | Cisco Systems, Inc., 3.625%, 3/4/2024 | 2,179,586 | |
7,995,000 | Dell International LLC / EMC Corp., Sec. Fac. Bond, 144A, 5.850%, 7/15/2025 | 9,373,048 | |
7,500,000 | Dell International LLC / EMC Corp., Term Loan - 1st Lien, 144A, 5.300%, 10/1/2029 | 8,887,013 | |
5,185,000 | Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024 | 5,486,594 | |
3,025,000 | Equifax, Inc., Sr. Unsecd. Note, Series FXD, 3.600%, 8/15/2021 | 3,045,210 | |
1,535,000 | Experian Finance PLC., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2029 | 1,728,002 | |
2,280,000 | Fidelity National Information Services, Inc., Sr. Unsecd. Note, 3.100%, 3/1/2041 | 2,245,746 | |
6,885,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029 | 7,482,925 | |
6,585,000 | Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023 | 7,080,398 | |
775,000 | IBM Corp., Sr. Unsecd. Note, 2.850%, 5/13/2022 | 794,820 | |
5,635,000 | Intel Corp., Sr. Unsecd. Note, 3.400%, 3/25/2025 | 6,189,974 | |
6,000,000 | Intel Corp., Sr. Unsecd. Note, 3.700%, 7/29/2025 | 6,660,778 | |
5,630,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024 | 6,281,033 | |
5,955,000 | Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029 | 6,218,463 | |
6,100,000 | Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029 | 6,977,707 | |
1,765,000 | Micron Technology, Inc., Sr. Unsecd. Note, 2.497%, 4/24/2023 | 1,831,030 | |
4,500,000 | Micron Technology, Inc., Sr. Unsecd. Note, 4.975%, 2/6/2026 | 5,203,328 | |
2,650,000 | Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026 | 2,830,747 | |
1,297,000 | Microsoft Corp., Sr. Unsecd. Note, 2.675%, 6/1/2060 | 1,209,708 | |
2,857,000 | Microsoft Corp., Sr. Unsecd. Note, 2.921%, 3/17/2052 | 2,864,318 | |
6,123,000 | Microsoft Corp., Sr. Unsecd. Note, 3.041%, 3/17/2062 | 6,175,463 | |
2,000,000 | Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025 | 2,194,716 | |
284,000 | Microsoft Corp., Sr. Unsecd. Note, 3.450%, 8/8/2036 | 317,308 | |
7,000,000 | Oracle Corp., 6.500%, 4/15/2038 | 9,688,508 | |
6,070,000 | Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026 | 6,152,864 | |
5,000,000 | Oracle Corp., Sr. Unsecd. Note, 2.500%, 5/15/2022 | 5,091,696 | |
12,665,000 | Oracle Corp., Sr. Unsecd. Note, 2.950%, 4/1/2030 | 13,196,722 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Technology— continued | |||
$ 6,070,000 | Oracle Corp., Sr. Unsecd. Note, 3.650%, 3/25/2041 | $6,197,540 | |
2,100,000 | SAIC, Inc., Company Guarantee, Series 1, 5.950%, 12/1/2040 | 2,494,778 | |
1,650,000 | Skyworks Solutions, Inc., Sr. Unsecd. Note, 1.800%, 6/1/2026 | 1,662,987 | |
5,430,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028 | 6,201,103 | |
1,970,000 | Total System Services, Inc., Sr. Unsecd. Note, 4.800%, 4/1/2026 | 2,267,275 | |
2,485,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029 | 2,789,551 | |
1,750,000 | Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 9/12/2022 | 1,831,326 | |
8,000,000 | Verisk Analytics, Inc., Unsecd. Note, 4.000%, 6/15/2025 | 8,877,088 | |
TOTAL | 233,122,800 | ||
Technology Services— 0.1% | |||
4,360,000 | Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026 | 4,314,043 | |
4,700,000 | Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026 | 4,664,236 | |
1,405,000 | Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030 | 1,442,332 | |
2,450,000 | Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031 | 2,459,310 | |
TOTAL | 12,879,921 | ||
Transportation - Airlines— 0.2% | |||
3,950,000 | Southwest Airlines Co., Sr. Unsecd. Note, 4.750%, 5/4/2023 | 4,260,432 | |
2,150,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.125%, 6/15/2027 | 2,517,753 | |
9,134,000 | Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025 | 10,482,549 | |
TOTAL | 17,260,734 | ||
Transportation - Railroads— 0.3% | |||
1,898,000 | Burlington Northern Santa Fe Corp., 3.050%, 9/1/2022 | 1,951,642 | |
1,180,000 | Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.450%, 9/15/2021 | 1,181,410 | |
1,850,000 | Canadian Pacific Railway Co., 7.125%, 10/15/2031 | 2,604,760 | |
2,725,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.050%, 3/5/2030 | 2,675,988 | |
5,000,000 | Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.900%, 2/1/2025 | 5,327,977 | |
3,445,000 | CSX Corp., Sr. Unsecd. Note, 3.800%, 4/15/2050 | 3,828,478 | |
5,925,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2023 | 6,176,336 | |
4,660,000 | Kansas City Southern Industries, Inc., Sr. Unsecd. Note, 4.700%, 5/1/2048 | 5,588,438 | |
6,565,000 | Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030 | 6,701,275 | |
TOTAL | 36,036,304 | ||
Transportation - Services— 0.6% | |||
6,620,000 | Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 5.625%, 3/15/2042 | 8,810,111 | |
4,510,000 | FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041 | 4,480,348 | |
545,000 | FedEx Corp., Sr. Unsecd. Note, 3.900%, 2/1/2035 | 612,965 | |
8,075,000 | FedEx Corp., Sr. Unsecd. Note, 4.050%, 2/15/2048 | 8,908,479 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Transportation - Services— continued | |||
$ 10,000,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026 | $10,075,389 | |
8,750,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.375%, 2/1/2022 | 8,882,217 | |
640,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.650%, 7/29/2021 | 641,628 | |
7,135,000 | Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.000%, 7/15/2025 | 7,888,552 | |
6,135,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.900%, 12/1/2026 | 6,589,208 | |
8,000,000 | Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 3.400%, 3/1/2023 | 8,389,887 | |
TOTAL | 65,278,784 | ||
Utility - Electric— 2.3% | |||
3,150,000 | AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025 | 3,462,997 | |
2,960,000 | Ameren Corp., Sr. Unsecd. Note, 3.650%, 2/15/2026 | 3,256,111 | |
535,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, 3.250%, 3/1/2050 | 515,649 | |
2,125,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series F, 2.950%, 12/15/2022 | 2,197,403 | |
3,835,000 | American Electric Power Co., Inc., Sr. Unsecd. Note, Series M, 0.750%, 11/1/2023 | 3,841,840 | |
6,275,000 | Berkshire Hathaway Energy Co., Sr. Unsecd. Note, Series WI, 4.050%, 4/15/2025 | 6,997,712 | |
5,045,000 | Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030 | 5,080,541 | |
1,600,000 | Consolidated Edison Co., 4.625%, 12/1/2054 | 1,925,261 | |
2,590,000 | Consolidated Edison Co., Sr. Unsecd. Note, Series 20B, 3.950%, 4/1/2050 | 2,866,516 | |
5,265,000 | Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024 | 5,615,622 | |
2,025,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series A, 1.450%, 4/15/2026 | 2,038,939 | |
6,455,000 | Dominion Energy, Inc., Sr. Unsecd. Note, Series C, 3.375%, 4/1/2030 | 6,958,133 | |
12,020,000 | Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046 | 12,487,418 | |
2,775,000 | Duke Energy Indiana, Inc., 1st Mtg. Bond, 6.350%, 8/15/2038 | 3,991,389 | |
427,000 | Duke Energy Indiana, Inc., Sr. Deb., 6.120%, 10/15/2035 | 579,194 | |
8,000,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028 | 7,864,569 | |
6,150,000 | EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024 | 6,640,267 | |
5,885,000 | Electricite de France SA, Note, 144A, 5.600%, 1/27/2040 | 7,731,670 | |
3,940,000 | Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026 | 4,310,420 | |
15,600,000 | Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046 | 17,877,108 | |
4,900,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.625%, 9/14/2025 | 5,570,602 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Utility - Electric— continued | |||
$ 3,330,000 | Enel Finance International NV, Sr. Unsecd. Note, 144A, 4.875%, 6/14/2029 | $3,917,933 | |
513,000 | Entergy Louisiana LLC, 1st Mtg. Bond, 5.400%, 11/1/2024 | 593,207 | |
7,880,000 | EverSource Energy, Sr. Unsecd. Note, 3.450%, 1/15/2050 | 8,036,933 | |
6,955,000 | EverSource Energy, Sr. Unsecd. Note, Series L, 2.900%, 10/1/2024 | 7,405,567 | |
7,100,000 | Exelon Corp., Sr. Unsecd. Note, 3.950%, 6/15/2025 | 7,841,306 | |
4,012,000 | Exelon Corp., Sr. Unsecd. Note, 4.450%, 4/15/2046 | 4,700,154 | |
2,385,000 | Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050 | 2,903,582 | |
3,220,000 | FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049 | 3,599,510 | |
6,043,000 | Fortis, Inc. / Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026 | 6,520,713 | |
5,400,000 | Gulf Power Co., 4.550%, 10/1/2044 | 6,060,761 | |
1,250,000 | Gulf Power Co., Sr. Unsecd. Note, Series 12-A, 3.100%, 5/15/2022 | 1,282,263 | |
4,130,000 | Kansas City Power and Light Co., Sr. Unsecd. Note, 4.200%, 3/15/2048 | 4,827,660 | |
1,325,000 | MidAmerican Energy Holdings Co., Sr. Unsecd. Note, 5.950%, 5/15/2037 | 1,790,169 | |
8,040,000 | National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046 | 8,791,189 | |
4,125,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.150%, 4/1/2024 | 4,418,982 | |
4,970,000 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.550%, 5/1/2027 | 5,500,800 | |
2,000,000 | 1 | NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 3.625%, 6/15/2023 | 2,108,200 |
5,000,000 | NiSource Finance Corp., Sr. Unsecd. Note, 3.950%, 3/30/2048 | 5,473,881 | |
2,685,000 | NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047 | 3,123,874 | |
250,000 | Northern States Power Co., MN, 7.125%, 7/1/2025 | 311,143 | |
1,390,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.950%, 3/15/2024 | 1,504,515 | |
2,412,000 | PPL Capital Funding, Inc., Sr. Unsecd. Note, 4.200%, 6/15/2022 | 2,481,358 | |
2,955,000 | Public Service Enterprises Group, Inc., Sr. Unsecd. Note, 2.875%, 6/15/2024 | 3,143,470 | |
15,495,000 | Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051 | 16,432,757 | |
6,920,000 | Southern Co., Sr. Unsecd. Note, Series A, 3.700%, 4/30/2030 | 7,577,317 | |
1,500,000 | Southwestern Electric Power Co., Sr. Unsecd. Note, 6.200%, 3/15/2040 | 2,050,972 | |
9,945,000 | WEC Energy Group, Inc., Sr. Unsecd. Note, 0.550%, 9/15/2023 | 9,953,099 | |
TOTAL | 244,160,676 | ||
Utility - Natural Gas— 0.4% | |||
500,000 | ANR Pipeline Co., Sr. Deb., 9.625%, 11/1/2021 | 519,028 | |
2,930,000 | 1 | Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040 | 3,637,741 |
5,920,000 | National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031 | 5,889,301 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
CORPORATE BONDS— continued | |||
Utility - Natural Gas— continued | |||
$ 2,870,000 | National Fuel Gas Co., Sr. Unsecd. Note, 3.950%, 9/15/2027 | $3,104,917 | |
8,320,000 | National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026 | 9,667,336 | |
450,000 | Sempra Energy, Sr. Unsecd. Note, 2.900%, 2/1/2023 | 467,890 | |
5,300,000 | Sempra Energy, Sr. Unsecd. Note, 3.550%, 6/15/2024 | 5,703,970 | |
1,160,000 | Sempra Energy, Sr. Unsecd. Note, 6.000%, 10/15/2039 | 1,586,390 | |
7,490,000 | Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047 | 8,908,134 | |
135,000 | TransCanada PipeLines Ltd., Sr. Unsecd. Note, 6.200%, 10/15/2037 | 178,981 | |
TOTAL | 39,663,688 | ||
Utility - Natural Gas Distributor— 0.0% | |||
1,765,000 | Southern Co. Gas Capital, Sr. Unsecd. Note, 3.950%, 10/1/2046 | 1,893,688 | |
2,045,000 | The East Ohio Gas Company, Sr. Unsecd. Note, 144A, 3.000%, 6/15/2050 | 1,938,815 | |
TOTAL | 3,832,503 | ||
TOTAL CORPORATE BONDS (IDENTIFIED COST $3,529,522,807) | 3,766,011,218 | ||
U.S. TREASURIES— 20.5% | |||
U.S. Treasury Bonds— 3.4% | |||
72,600,000 | United States Treasury Bond, 1.375%, 8/15/2050 | 58,433,330 | |
4,845,000 | United States Treasury Bond, 2.250%, 8/15/2049 | 4,818,079 | |
13,420,000 | United States Treasury Bond, 2.375%, 11/15/2049 | 13,719,453 | |
216,160,000 | United States Treasury Bond, 2.375%, 5/15/2051 | 221,296,805 | |
215,000 | United States Treasury Bond, 2.500%, 2/15/2045 | 224,980 | |
250,000 | United States Treasury Bond, 2.500%, 2/15/2046 | 261,441 | |
350,000 | United States Treasury Bond, 2.500%, 5/15/2046 | 366,083 | |
9,000,000 | United States Treasury Bond, 2.750%, 11/15/2047 | 9,875,975 | |
9,000,000 | United States Treasury Bond, 2.875%, 5/15/2043 | 10,043,342 | |
2,380,000 | United States Treasury Bond, 2.875%, 8/15/2045 | 2,662,114 | |
10,400,000 | United States Treasury Bond, 2.875%, 5/15/2049 | 11,727,309 | |
2,000,000 | United States Treasury Bond, 3.000%, 5/15/2042 | 2,275,860 | |
800,000 | United States Treasury Bond, 3.000%, 11/15/2045 | 915,326 | |
2,000,000 | United States Treasury Bond, 3.000%, 2/15/2047 | 2,295,163 | |
750,000 | United States Treasury Bond, 3.000%, 5/15/2047 | 861,026 | |
850,000 | United States Treasury Bond, 3.000%, 8/15/2048 | 978,530 | |
�� 950,000 | United States Treasury Bond, 3.125%, 8/15/2044 | 1,106,318 | |
3,215,000 | United States Treasury Bond, 3.125%, 5/15/2048 | 3,782,471 | |
2,885,000 | United States Treasury Bond, 3.750%, 8/15/2041 | 3,649,134 | |
3,100,000 | 1 | United States Treasury Bond, 4.500%, 2/15/2036 | 4,164,265 |
5,000,000 | United States Treasury Bond, 5.250%, 11/15/2028 | 6,411,043 | |
4,000,000 | United States Treasury Bond, 7.125%, 2/15/2023 | 4,477,803 | |
TOTAL | 364,345,850 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
U.S. TREASURIES— continued | |||
U.S. Treasury Notes— 17.1% | |||
$ 51,608 | U.S. Treasury Inflation-Protected Notes, 0.125%, 10/15/2024 | $56,136 | |
6,276,751 | U.S. Treasury Inflation-Protected Notes, 0.125%, 10/15/2025 | 6,902,151 | |
220,956 | U.S. Treasury Inflation-Protected Notes, 0.125%, 7/15/2026 | 244,533 | |
657,668,829 | U.S. Treasury Inflation-Protected Notes, 0.125%, 1/15/2031 | 722,250,133 | |
104,140,903 | U.S. Treasury Inflation-Protected Notes, 0.125%, 2/15/2051 | 109,204,650 | |
7,519,292 | U.S. Treasury Inflation-Protected Notes, 0.250%, 2/15/2050 | 8,153,604 | |
986,652 | U.S. Treasury Inflation-Protected Notes, 0.375%, 1/15/2027 | 1,103,215 | |
232,753 | U.S. Treasury Inflation-Protected Notes, 0.375%, 7/15/2027 | 261,842 | |
3,149,970 | U.S. Treasury Inflation-Protected Notes, 0.500%, 4/15/2024 | 3,423,941 | |
281,145 | U.S. Treasury Inflation-Protected Notes, 0.750%, 2/15/2045 | 336,599 | |
314,631 | U.S. Treasury Inflation-Protected Notes, 0.875%, 1/15/2029 | 366,199 | |
157,200,000 | United States Treasury Note, 0.125%, 11/30/2022 | 157,246,154 | |
50,000,000 | United States Treasury Note, 0.125%, 12/31/2022 | 50,007,705 | |
30,000,000 | United States Treasury Note, 0.125%, 2/28/2023 | 30,001,065 | |
45,370,000 | United States Treasury Note, 0.125%, 10/15/2023 | 45,307,049 | |
6,000,000 | United States Treasury Note, 0.250%, 7/31/2025 | 5,915,984 | |
9,200,000 | United States Treasury Note, 0.250%, 8/31/2025 | 9,057,218 | |
265,000 | United States Treasury Note, 0.250%, 9/30/2025 | 260,650 | |
11,000,000 | United States Treasury Note, 0.375%, 11/30/2025 | 10,850,497 | |
206,200,000 | United States Treasury Note, 0.375%, 1/31/2026 | 202,900,161 | |
12,000,000 | United States Treasury Note, 0.375%, 7/31/2027 | 11,496,066 | |
10,410,000 | United States Treasury Note, 0.375%, 9/30/2027 | 9,939,206 | |
70,000,000 | United States Treasury Note, 0.500%, 2/28/2026 | 69,227,970 | |
5,400,000 | United States Treasury Note, 0.500%, 4/30/2027 | 5,239,648 | |
1,500,000 | United States Treasury Note, 0.500%, 10/31/2027 | 1,441,067 | |
22,200,000 | United States Treasury Note, 0.750%, 3/31/2026 | 22,193,795 | |
8,200,000 | 1 | United States Treasury Note, 0.750%, 4/30/2026 | 8,191,667 |
40,000,000 | United States Treasury Note, 0.750%, 1/31/2028 | 38,882,192 | |
11,350,000 | 1 | United States Treasury Note, 0.875%, 11/15/2030 | 10,675,671 |
700,000 | United States Treasury Note, 1.125%, 2/28/2027 | 706,029 | |
1,000,000 | United States Treasury Note, 1.125%, 2/29/2028 | 995,468 | |
11,000,000 | United States Treasury Note, 1.250%, 3/31/2028 | 11,023,732 | |
45,645,000 | 1 | United States Treasury Note, 1.250%, 4/30/2028 | 45,695,392 |
270,000 | United States Treasury Note, 1.625%, 5/15/2026 | 281,050 | |
179,400,000 | 1 | United States Treasury Note, 1.625%, 5/15/2031 | 180,098,332 |
21,650,000 | 4 | United States Treasury Note, 1.750%, 12/31/2026 | 22,624,204 |
6,180,000 | United States Treasury Note, 2.000%, 4/30/2024 | 6,486,880 | |
1,300,000 | United States Treasury Note, 2.125%, 9/30/2024 | 1,374,827 | |
1,300,000 | United States Treasury Note, 2.250%, 11/15/2025 | 1,391,061 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
U.S. TREASURIES— continued | |||
U.S. Treasury Notes— continued | |||
$ 180,000 | United States Treasury Note, 2.375%, 5/15/2027 | $194,125 | |
100,000 | United States Treasury Note, 2.375%, 5/15/2029 | 107,455 | |
1,205,000 | United States Treasury Note, 2.500%, 5/15/2024 | 1,283,756 | |
130,000 | United States Treasury Note, 2.625%, 2/15/2029 | 142,168 | |
4,800,000 | United States Treasury Note, 2.750%, 2/15/2028 | 5,288,273 | |
455,000 | United States Treasury Note, 2.875%, 5/15/2028 | 505,077 | |
980,000 | United States Treasury Note, 2.875%, 8/15/2028 | 1,088,236 | |
400,000 | United States Treasury Note, 3.125%, 11/15/2028 | 451,606 | |
TOTAL | 1,820,874,439 | ||
TOTAL U.S. TREASURIES (IDENTIFIED COST $2,194,991,056) | 2,185,220,289 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES— 1.0% | |||
Agency Commercial Mortgage-Backed Securities— 0.2% | |||
6,100,000 | FREMF Mortgage Trust 2013-K25 REMIC, Class B, 3.620%, 11/25/2045 | 6,306,474 | |
11,890,000 | FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.721%, 10/25/2048 | 12,980,201 | |
TOTAL | 19,286,675 | ||
Commercial Mortgage— 0.8% | |||
4,500,000 | 2 | Bank 2018-BN15, Class A4, 4.407% (12-month USLIBOR +0.000%), 11/15/2061 | 5,258,063 |
8,800,000 | Bank 2019-BN16, Class A4, 4.005%, 2/15/2052 | 10,066,295 | |
4,359,000 | Bank, Class A5, 3.390%, 6/15/2060 | 4,806,015 | |
8,890,000 | Benchmark Mortgage Trust 2018-B1, Class A5, 3.666%, 1/15/2051 | 9,943,686 | |
29,700,000 | Benchmark Mortgage Trust 2018-B4, Class A5, 4.121%, 7/15/2051 | 34,087,673 | |
2,600,000 | CD Commercial Mortgage Trust 2016-CD1, Class A4, 2.724%, 8/10/2049 | 2,769,155 | |
4,100,000 | CD Commercial Mortgage Trust 2016-CD4, Class A4, 3.514%, 5/10/2050 | 4,527,179 | |
14,400,000 | JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049 | 15,666,461 | |
3,342,000 | Wells Fargo Commercial Mortgage Trust 2017-C38, Class A5, 3.453%, 7/15/2050 | 3,690,091 | |
TOTAL | 90,814,618 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $100,933,836) | 110,101,293 | ||
FOREIGN GOVERNMENTS/AGENCIES— 0.5% | |||
Sovereign— 0.5% | |||
5,350,000 | Colombia, Government of, Sr. Unsecd. Note, 3.000%, 1/30/2030 | 5,172,219 | |
15,000,000 | Colombia, Government of, Sr. Unsecd. Note, 4.500%, 3/15/2029 | 16,181,400 | |
15,000,000 | Mexico, Government of, 3.750%, 1/11/2028 | 16,364,100 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
FOREIGN GOVERNMENTS/AGENCIES— continued | |||
Sovereign— continued | |||
$ 10,300,000 | Mexico, Government of, Sr. Unsecd. Note, 4.500%, 1/31/2050 | $10,764,839 | |
2,150,000 | Poland, Government of, 4.000%, 1/22/2024 | 2,347,568 | |
4,000,000 | Saudi Arabia, Government of, Sr. Unsecd. Note, 144A, 2.900%, 10/22/2025 | 4,266,168 | |
TOTAL FOREIGN GOVERNMENTS/AGENCIES (IDENTIFIED COST $53,422,794) | 55,096,294 | ||
ASSET-BACKED SECURITIES— 0.4% | |||
Auto Receivables— 0.1% | |||
5,000,000 | AmeriCredit Automobile Receivables Trust 2017-2, Class D, 3.420%, 4/18/2023 | 5,101,129 | |
Credit Card— 0.3% | |||
14,419,000 | 2 | Master Credit Card Trust 2018-1A, Class A, 0.586% (1-month USLIBOR +0.490%), 7/21/2024 | 14,542,976 |
20,000,000 | 2 | Trillium Credit Card Trust II 2020-1A, Class A, 0.461% (1-month USLIBOR +0.370%), 12/26/2024 | 20,055,328 |
TOTAL | 34,598,304 | ||
Financial Institution - Finance Companies— 0.0% | |||
66,870 | Countrywide Home Loan, Inc., Class 2A1, 6.000%, 2/25/2037 | 36,174 | |
Other— 0.0% | |||
337,513 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 337,530 | |
Student Loans— 0.0% | |||
2,026,832 | 2 | Navient Student Loan Trust 2020-A, Class A1, 0.450% (1-month USLIBOR +0.350%), 11/15/2068 | 2,038,927 |
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $41,913,758) | 42,112,064 | ||
MORTGAGE-BACKED SECURITIES— 0.1% | |||
Federal Home Loan Mortgage Corporation— 0.0% | |||
412 | Federal Home Loan Mortgage Corp., Pool C00879, 8.000%, 10/1/2029 | 478 | |
98 | Federal Home Loan Mortgage Corp., Pool C41497, 7.500%, 9/1/2030 | 116 | |
179,515 | Federal Home Loan Mortgage Corp., Pool G01989, 6.000%, 12/1/2035 | 212,486 | |
18,927 | Federal Home Loan Mortgage Corp., Pool G03381, 5.500%, 9/1/2037 | 22,109 | |
447 | Federal Home Loan Mortgage Corp., Pool G03927, 5.500%, 1/1/2038 | 522 | |
190,359 | Federal Home Loan Mortgage Corp., Pool G08451, 4.500%, 6/1/2041 | 212,189 | |
7,222 | Federal Home Loan Mortgage Corp., Pool G14615, 4.500%, 9/1/2026 | 7,698 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 6,958 | Federal Home Loan Mortgage Corp., Pool G14801, 3.000%, 6/1/2028 | $7,347 | |
7,011 | Federal Home Loan Mortgage Corp., Pool G18521, 3.500%, 8/1/2029 | 7,524 | |
4,117 | Federal Home Loan Mortgage Corp., Pool ZI5305, 5.500%, 10/1/2036 | 4,801 | |
48,148 | Federal Home Loan Mortgage Corp., Pool ZI5333, 5.500%, 10/1/2036 | 55,992 | |
1,139 | Federal Home Loan Mortgage Corp., Pool ZK0320, 5.500%, 8/1/2021 | 1,142 | |
9,778 | Federal Home Loan Mortgage Corp., Pool ZK0727, 5.500%, 9/1/2022 | 10,002 | |
9,224 | Federal Home Loan Mortgage Corp., Pool ZK1227, 5.000%, 12/1/2022 | 9,396 | |
21,381 | Federal Home Loan Mortgage Corp., Pool ZK1547, 4.500%, 5/1/2024 | 22,355 | |
6,835 | Federal Home Loan Mortgage Corp., Pool ZS1273, 6.000%, 1/1/2037 | 8,116 | |
2,755 | Federal Home Loan Mortgage Corp., Pool ZS5294, 5.000%, 4/1/2022 | 2,788 | |
3,585 | Federal Home Loan Mortgage Corp., Pool ZS5598, 5.000%, 4/1/2023 | 3,701 | |
TOTAL | 588,762 | ||
Federal National Mortgage Association— 0.1% | |||
1,614 | Federal National Mortgage Association, Pool 251286, 7.000%, 11/1/2027 | 1,827 | |
3,716 | Federal National Mortgage Association, Pool 252717, 7.500%, 9/1/2029 | 4,314 | |
3,716 | Federal National Mortgage Association, Pool 255225, 5.500%, 6/1/2034 | 4,297 | |
43,462 | Federal National Mortgage Association, Pool 255767, 5.500%, 6/1/2025 | 48,513 | |
21,413 | Federal National Mortgage Association, Pool 256233, 6.000%, 5/1/2036 | 25,387 | |
16,820 | Federal National Mortgage Association, Pool 257306, 5.500%, 8/1/2038 | 19,666 | |
568 | Federal National Mortgage Association, Pool 313458, 7.000%, 4/1/2027 | 632 | |
254 | Federal National Mortgage Association, Pool 349416, 7.500%, 8/1/2026 | 285 | |
3,188 | Federal National Mortgage Association, Pool 396031, 7.500%, 10/1/2027 | 3,609 | |
1,760 | Federal National Mortgage Association, Pool 545137, 7.500%, 8/1/2031 | 2,061 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 449 | Federal National Mortgage Association, Pool 555211, 7.000%, 8/1/2032 | $528 | |
1,079 | Federal National Mortgage Association, Pool 576245, 7.500%, 4/1/2031 | 1,283 | |
122 | Federal National Mortgage Association, Pool 577475, 7.500%, 4/1/2031 | 131 | |
22,664 | Federal National Mortgage Association, Pool 620613, 6.500%, 1/1/2032 | 26,082 | |
84,784 | Federal National Mortgage Association, Pool 725424, 5.500%, 4/1/2034 | 97,787 | |
14,510 | Federal National Mortgage Association, Pool 725948, 5.500%, 10/1/2034 | 16,742 | |
57,621 | Federal National Mortgage Association, Pool 735744, 6.000%, 8/1/2035 | 68,052 | |
14,454 | Federal National Mortgage Association, Pool 852523, 5.500%, 2/1/2036 | 16,828 | |
2,816 | Federal National Mortgage Association, Pool 866049, 5.500%, 3/1/2036 | 3,284 | |
24,746 | Federal National Mortgage Association, Pool 871234, 5.500%, 4/1/2036 | 28,838 | |
3,639 | Federal National Mortgage Association, Pool 885404, 6.000%, 6/1/2036 | 4,312 | |
4,960 | Federal National Mortgage Association, Pool 889187, 5.000%, 7/1/2033 | 5,503 | |
5,417 | Federal National Mortgage Association, Pool 892563, 6.000%, 7/1/2036 | 6,445 | |
942 | Federal National Mortgage Association, Pool 905427, 5.000%, 11/1/2021 | 949 | |
15,044 | Federal National Mortgage Association, Pool 906224, 5.500%, 1/1/2037 | 17,551 | |
90,685 | Federal National Mortgage Association, Pool 932639, 5.000%, 3/1/2040 | 103,415 | |
46,779 | Federal National Mortgage Association, Pool 934898, 4.500%, 7/1/2024 | 49,023 | |
2,682 | Federal National Mortgage Association, Pool 936523, 5.500%, 7/1/2037 | 3,132 | |
30,560 | Federal National Mortgage Association, Pool 962914, 5.000%, 5/1/2038 | 34,985 | |
5,241 | Federal National Mortgage Association, Pool 979899, 5.500%, 5/1/2038 | 6,133 | |
278,038 | Federal National Mortgage Association, Pool AB1048, 4.500%, 5/1/2040 | 309,792 | |
6,622 | Federal National Mortgage Association, Pool AB2275, 4.500%, 2/1/2041 | 7,379 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 9,202 | Federal National Mortgage Association, Pool AB4297, 3.500%, 1/1/2042 | $9,969 | |
4,122 | Federal National Mortgage Association, Pool AC1889, 4.000%, 9/1/2039 | 4,544 | |
16,691 | Federal National Mortgage Association, Pool AC3668, 4.500%, 10/1/2039 | 18,659 | |
3,997 | Federal National Mortgage Association, Pool AD7127, 4.500%, 7/1/2040 | 4,453 | |
12,081 | Federal National Mortgage Association, Pool AD7134, 5.000%, 7/1/2040 | 13,777 | |
1,872 | Federal National Mortgage Association, Pool AD7793, 4.500%, 7/1/2040 | 2,086 | |
34,896 | Federal National Mortgage Association, Pool AH5583, 4.500%, 2/1/2041 | 38,881 | |
2,856 | Federal National Mortgage Association, Pool AH9719, 4.500%, 4/1/2041 | 3,183 | |
15,219 | Federal National Mortgage Association, Pool AI0845, 4.000%, 12/1/2041 | 16,695 | |
4,880 | Federal National Mortgage Association, Pool AJ1441, 3.500%, 9/1/2026 | 5,218 | |
29,175 | Federal National Mortgage Association, Pool AL1948, 4.000%, 1/1/2042 | 32,004 | |
12,514 | Federal National Mortgage Association, Pool AO8179, 3.500%, 9/1/2042 | 13,537 | |
3,927 | Federal National Mortgage Association, Pool AS0765, 3.500%, 10/1/2028 | 4,204 | |
11,662 | Federal National Mortgage Association, Pool AS6131, 3.500%, 11/1/2045 | 12,494 | |
7,705 | Federal National Mortgage Association, Pool AT5900, 3.000%, 6/1/2043 | 8,185 | |
17,210 | Federal National Mortgage Association, Pool AX2484, 3.500%, 10/1/2044 | 18,617 | |
17,208 | Federal National Mortgage Association, Pool AY8424, 3.500%, 8/1/2045 | 18,436 | |
177,820 | Federal National Mortgage Association, Pool MA0500, 5.000%, 8/1/2040 | 202,782 | |
357,456 | Federal National Mortgage Association, Pool MA0562, 4.500%, 11/1/2040 | 398,280 | |
9,810 | Federal National Mortgage Association, Pool MA0585, 4.500%, 11/1/2040 | 10,930 | |
340,031 | Federal National Mortgage Association, Pool MA0695, 4.000%, 4/1/2031 | 367,681 | |
5,140 | Federal National Mortgage Association, Pool MA0821, 4.500%, 8/1/2041 | 5,727 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 6,076 | Federal National Mortgage Association, Pool MA0907, 4.000%, 11/1/2041 | $6,665 | |
23,045 | Federal National Mortgage Association, Pool MA1236, 3.500%, 11/1/2042 | 24,927 | |
TOTAL | 2,160,699 | ||
Government National Mortgage Association— 0.0% | |||
1,239 | Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023 | 1,310 | |
223 | Government National Mortgage Association, Pool 1716, 7.000%, 5/20/2024 | 238 | |
1,499 | Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028 | 1,684 | |
1,517 | Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028 | 1,713 | |
3,200 | Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028 | 3,604 | |
3,355 | Government National Mortgage Association, Pool 2698, 5.500%, 1/20/2029 | 3,722 | |
4,764 | Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029 | 5,362 | |
1,638 | Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029 | 1,870 | |
363 | Government National Mortgage Association, Pool 2853, 7.500%, 12/20/2029 | 420 | |
226 | Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031 | 259 | |
5,584 | Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032 | 6,453 | |
2,830 | Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032 | 3,285 | |
3,115 | Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032 | 3,621 | |
22,948 | Government National Mortgage Association, Pool 3320, 5.500%, 12/20/2032 | 26,048 | |
15,614 | Government National Mortgage Association, Pool 3333, 5.500%, 1/20/2033 | 17,723 | |
5,016 | Government National Mortgage Association, Pool 3375, 5.500%, 4/20/2033 | 5,700 | |
25,252 | Government National Mortgage Association, Pool 3390, 5.500%, 5/20/2033 | 28,711 | |
27,981 | Government National Mortgage Association, Pool 3403, 5.500%, 6/20/2033 | 31,827 | |
31,776 | Government National Mortgage Association, Pool 3458, 5.000%, 10/20/2033 | 35,607 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 12,217 | Government National Mortgage Association, Pool 3499, 5.000%, 1/20/2034 | $13,687 | |
12,677 | Government National Mortgage Association, Pool 3556, 5.500%, 5/20/2034 | 14,474 | |
28,929 | Government National Mortgage Association, Pool 3623, 5.000%, 10/20/2034 | 32,537 | |
109 | Government National Mortgage Association, Pool 305911, 9.000%, 9/15/2021 | 110 | |
9,694 | Government National Mortgage Association, Pool 345128, 6.500%, 1/15/2024 | 10,241 | |
122 | Government National Mortgage Association, Pool 366985, 4.500%, 6/15/2041 | 139 | |
7,716 | Government National Mortgage Association, Pool 372962, 7.000%, 3/15/2024 | 8,196 | |
4,465 | Government National Mortgage Association, Pool 373015, 8.000%, 6/15/2024 | 4,795 | |
2,298 | Government National Mortgage Association, Pool 412615, 7.500%, 6/15/2026 | 2,563 | |
180 | Government National Mortgage Association, Pool 432701, 8.000%, 6/15/2026 | 200 | |
81 | Government National Mortgage Association, Pool 433505, 7.500%, 4/15/2027 | 85 | |
696 | Government National Mortgage Association, Pool 443780, 7.000%, 12/15/2027 | 750 | |
1,352 | Government National Mortgage Association, Pool 444274, 7.500%, 1/15/2027 | 1,513 | |
38 | Government National Mortgage Association, Pool 446820, 8.000%, 8/15/2027 | 43 | |
573 | Government National Mortgage Association, Pool 455319, 7.000%, 10/15/2027 | 646 | |
42,125 | Government National Mortgage Association, Pool 456873, 6.500%, 5/15/2028 | 47,585 | |
823 | Government National Mortgage Association, Pool 460881, 7.000%, 7/15/2028 | 933 | |
324 | Government National Mortgage Association, Pool 468225, 6.500%, 9/15/2028 | 354 | |
97 | Government National Mortgage Association, Pool 471672, 7.000%, 4/15/2028 | 109 | |
170 | Government National Mortgage Association, Pool 506476, 7.000%, 4/15/2029 | 195 | |
15,191 | Government National Mortgage Association, Pool 510559, 7.000%, 10/15/2029 | 17,216 | |
2,627 | Government National Mortgage Association, Pool 541578, 5.000%, 6/15/2033 | 2,959 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 1,735 | Government National Mortgage Association, Pool 544007, 6.500%, 3/15/2031 | $2,011 | |
138 | Government National Mortgage Association, Pool 571225, 6.500%, 10/15/2031 | 161 | |
798 | Government National Mortgage Association, Pool 591976, 5.000%, 4/15/2033 | 898 | |
5,810 | Government National Mortgage Association, Pool 603010, 5.000%, 6/15/2033 | 6,543 | |
11,592 | Government National Mortgage Association, Pool 605775, 6.000%, 11/15/2034 | 13,552 | |
19,763 | Government National Mortgage Association, Pool 605777, 6.000%, 12/15/2034 | 23,025 | |
28,788 | Government National Mortgage Association, Pool 615490, 4.500%, 8/15/2033 | 32,035 | |
1,159 | Government National Mortgage Association, Pool 633711, 6.000%, 9/15/2034 | 1,352 | |
22,115 | Government National Mortgage Association, Pool 643816, 6.000%, 7/15/2025 | 23,913 | |
333,456 | Government National Mortgage Association, Pool 644568, 5.500%, 8/15/2035 | 383,539 | |
37,861 | Government National Mortgage Association, Pool 650708, 5.500%, 1/15/2036 | 43,644 | |
69,762 | Government National Mortgage Association, Pool 652534, 5.500%, 4/15/2036 | 80,376 | |
17,513 | Government National Mortgage Association, Pool 689593, 6.000%, 7/15/2023 | 18,041 | |
4,791 | Government National Mortgage Association, Pool 704189, 5.500%, 1/15/2039 | 5,571 | |
8,272 | Government National Mortgage Association, Pool 780626, 7.000%, 8/15/2027 | 9,170 | |
9,288 | Government National Mortgage Association, Pool 782604, 5.500%, 3/15/2039 | 10,778 | |
9,833 | Government National Mortgage Association, Pool MA0625, 3.500%, 12/20/2042 | 10,663 | |
3,097 | Government National Mortgage Association, Pool MA1376, 4.000%, 10/20/2043 | 3,397 | |
TOTAL | 1,007,156 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $3,396,282) | 3,756,617 | ||
MUNICIPAL BOND— 0.0% | |||
Transportation - Services— 0.0% | |||
390,000 | Texas State Transportation Commission - State Highway Fund, 5.178%, 4/1/2030 (IDENTIFIED COST $423,105) | 480,565 |
Principal Amount, Shares or Contracts | Value in U.S. Dollars | ||
COLLATERALIZED MORTGAGE OBLIGATION— 0.0% | |||
Federal Home Loan Mortgage Corporation REMIC— 0.0% | |||
$ 67,144 | Federal Home Loan Mortgage Corp. REMIC, Series 3051, Class MY, 5.500%, 10/15/2025 (IDENTIFIED COST $65,857) | $72,107 | |
ADJUSTABLE RATE MORTGAGES— 0.0% | |||
Federal National Mortgage Association— 0.0% | |||
3,876 | 2 | FNMA ARM, 2.125%, 1/1/2033 | 4,068 |
Government National Mortgage Association— 0.0% | |||
226 | 2 | GNMA ARM, 2.125%, 10/20/2025 | 230 |
1,237 | 2 | GNMA ARM, 2.875%, 5/20/2028 | 1,274 |
TOTAL | 1,504 | ||
TOTAL ADJUSTABLE RATE MORTGAGES (IDENTIFIED COST $5,505) | 5,572 | ||
PURCHASED CALL OPTIONS— 0.0% | |||
17,500,000 | Morgan Stanley AUD CALL/USD PUT, Notional Amount:$17,500,000, Exercise Price $0.77. Expiration Date 7/14/2021 | 229,915 | |
30,000,000 | Morgan Stanley USD CALL/ZAR PUT, Notional Amount: $30,000,000, Exercise Price $14.30. Expiration Date 8/9/2021 | 437,310 | |
TOTAL PURCHASED CALL OPTIONS (IDENTIFIED COST $1,177,890) | 667,225 | ||
PURCHASED PUT OPTION— 0.0% | |||
2,000 | United States 10 Year, Notional Amount: $19,375 Exercise Price $131, Expiration Date 7/23/2021 (IDENTIFIED COST $1,254,700) | 968,750 | |
INVESTMENT COMPANIES— 44.3% | |||
76,541,079 | Bank Loan Core Fund | 740,152,239 | |
58,980,634 | Emerging Markets Core Fund | 606,320,920 | |
50,875,727 | Federated Hermes Government Obligations Fund, Premier Shares, 0.01%5 | 50,875,727 | |
260,254,656 | Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares, 0.03%5 | 260,332,732 | |
168,391,490 | High Yield Bond Core Fund | 1,069,285,959 | |
153,227,531 | Mortgage Core Fund | 1,518,484,833 | |
53,582,195 | Project and Trade Finance Core Fund | 474,738,246 | |
TOTAL INVESTMENT COMPANIES (IDENTIFIED COST $4,531,417,743) | 4,720,190,656 | ||
TOTAL INVESTMENT IN SECURITIES—102.2% (IDENTIFIED COST $10,458,525,333)6 | 10,884,682,650 | ||
OTHER ASSETS AND LIABILITIES - NET—(2.2)%7 | (231,443,801) | ||
TOTAL NET ASSETS—100% | $10,653,238,849 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Appreciation (Depreciation) |
Long Futures: | ||||
8United States Treasury Notes 2-Year Long Futures | 13,429 | $2,964,241,935 | September 2021 | $1,268,714 |
Short Futures: | ||||
8United States Treasury Notes 10-Year Short Futures | 1,386 | $182,865,375 | September 2021 | $(275,167) |
8United States Treasury Notes 10-Year Ultra Short Futures | 6,339 | $918,857,859 | September 2021 | $(1,292,230) |
8United States Treasury Ultra Bond Short Futures | 1,843 | $341,415,750 | September 2021 | $(3,604,125) |
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(3,902,808) |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation/ (Depreciation) | |
Contracts Purchased: | |||||
6/11/2021 | Citibank N.A. | 5,517,883 | AUD | $4,154,944 | $115,548 |
6/11/2021 | State Street Bank & Trust Co. | 5,579,457 | AUD | $4,154,284 | $163,862 |
6/11/2021 | Morgan Stanley | 21,181,185 | BRL | $4,132,995 | $(93,479) |
6/11/2021 | Morgan Stanley | 21,260,865 | BRL | $4,145,307 | $(90,595) |
6/11/2021 | State Street Bank & Trust Co. | 5,349,845 | CAD | $4,175,760 | $256,502 |
6/11/2021 | Citibank N.A. | 5,378,235 | CAD | $4,178,101 | $277,682 |
6/11/2021 | Citibank N.A. | 3,681,880 | CHF | $4,170,731 | $(73,576) |
6/11/2021 | State Street Bank & Trust Co. | 3,692,670 | CHF | $4,174,793 | $(65,631) |
6/11/2021 | HSBC Bank USA | 27,332,890 | CNY | $4,131,019 | $163,663 |
6/11/2021 | HSBC Bank USA | 27,305,335 | CNY | $4,139,493 | $150,860 |
6/11/2021 | Morgan Stanley | 14,268,062,500 | COP | $4,148,392 | $(302,563) |
6/11/2021 | Morgan Stanley | 14,512,801,000 | COP | $4,163,418 | $(251,622) |
6/11/2021 | BNP PARIBAS SA | 35,229,776,670 | COP | $9,614,956 | $(119,084) |
6/11/2021 | Credit Agricole CIB | 3,426,625 | EUR | $4,189,185 | $1,775 |
6/11/2021 | Credit Agricole CIB | 3,457,557 | EUR | $4,193,662 | $35,129 |
6/11/2021 | Credit Agricole CIB | 6,900,000 | EUR | $8,310,298 | $128,799 |
6/11/2021 | State Street Bank & Trust Co. | 3,116,369 | GBP | $4,179,072 | $248,372 |
6/11/2021 | Citibank N.A. | 3,140,515 | GBP | $4,181,413 | $280,335 |
6/11/2021 | Morgan Stanley | 58,888,375,000 | IDR | $4,107,727 | $13,047 |
6/11/2021 | Morgan Stanley | 58,909,250,000 | IDR | $4,103,001 | $19,234 |
6/11/2021 | Morgan Stanley | 58,910,000,000 | IDR | $4,064,721 | $57,567 |
6/11/2021 | Credit Agricole CIB | 305,315,500 | INR | $4,073,768 | $124,495 |
6/11/2021 | Morgan Stanley | 305,400,000 | INR | $4,101,531 | $97,894 |
6/11/2021 | Credit Agricole CIB | 305,714,730 | INR | $4,062,784 | $140,969 |
6/11/2021 | Citibank N.A. | 432,446,500 | JPY | $4,188,011 | $(238,120) |
6/11/2021 | Credit Agricole CIB | 435,160,250 | JPY | $4,186,135 | $(211,457) |
6/11/2021 | BANK OF AMERICA, N.A. | 82,813,630 | MXN | $4,104,479 | $47,467 |
6/11/2021 | HSBC Bank USA | 83,613,143 | MXN | $4,105,244 | $86,786 |
6/11/2021 | Citibank N.A. | 166,500,000 | MXN | $8,219,384 | $128,263 |
6/22/2021 | Credit Agricole CIB | 15,000,000 | EUR | $18,164,754 | $185,053 |
6/25/2021 | Morgan Stanley | 91,528,183 | NOK | $11,000,000 | $7,364 |
Settlement Date | Counterparty | Foreign Currency Units to Deliver/Receive | In Exchange For | Net Unrealized Appreciation/ (Depreciation) | |
Contracts Sold: | |||||
6/11/2021 | Credit Agricole CIB | 11,097,340 | AUD | $8,555,383 | $(33,256) |
6/11/2021 | Morgan Stanley | 42,442,050 | BRL | $7,633,600 | $(460,629) |
6/11/2021 | Citibank N.A. | 7,374,550 | CHF | $7,965,184 | $(241,133) |
6/11/2021 | Morgan Stanley | 28,780,863,500 | COP | $7,450,392 | $(307,233) |
6/11/2021 | Morgan Stanley | 35,229,776,670 | COP | $9,622,993 | $127,121 |
6/11/2021 | Barclays Bank PLC | 6,884,182 | EUR | $8,285,457 | $(134,293) |
6/11/2021 | Bank Of New York | 867,606,750 | JPY | $7,939,526 | $14,957 |
6/11/2021 | State Street Bank & Trust Co. | 166,500,000 | MXN | $8,234,447 | $(113,201) |
6/11/2021 | HSBC Bank USA | 166,426,773 | MXN | $8,282,617 | $(61,359) |
NET UNREALIZED APPRECIATION ON FOREIGN EXCHANGE CONTRACTS | $75,513 |
Counterparty | Description | Notional Amount | Expiration Date | Exercise Price | Value |
Call Options: | |||||
Bank of New York | EUR CALL/USD PUT | $36,300,000 | June 2021 | $1.21 | $(385,905) |
Bank of New York | USD CALL/NOK PUT | $30,000,000 | July 2021 | $8.60 | $(242,670) |
Barclays | USD CALL/MXN PUT | $25,000,000 | June 2021 | $21.00 | $(42,725) |
Barclays | USD CALL/RUB PUT | $25,000,000 | September 2021 | $77.00 | $(404,075) |
Barclays | GBP CALL/USD PUT | $35,750,000 | August 2021 | $1.43 | $(312,812) |
BNP | GBP CALL/USD PUT | $8,759,800 | June 2021 | $1.40 | $(125,397) |
HSBC | USD CALL/ZAR PUT | $30,000,000 | June 2021 | $14.20 | $(194,730) |
Morgan Stanley | AUD CALL/USD PUT | $25,000,000 | July 2021 | $0.80 | $(42,650) |
Morgan Stanley | NZD CALL/USD PUT | $25,000,000 | July 2021 | $0.74 | $(109,225) |
Morgan Stanley | USD CALL/ZAR PUT | $30,000,000 | August 2021 | $15.00 | $(186,300) |
Morgan Stanley | USD CALL/ZAR PUT | $30,000,000 | June 2021 | $14.60 | $(10,470) |
Put Options: | |||||
Bank of New York | USD PUT/NOK CALL | $30,000,000 | July 2021 | $8.00 | $(82,140) |
Barclays | USD PUT/MXN CALL | $25,000,000 | June 2021 | $19.50 | $(65,525) |
Barclays | GBP PUT/USD CALL | $34,750,000 | August 2021 | $1.39 | $(186,816) |
Barclays | USD PUT/RUB CALL | $25,000,000 | July 2021 | $71.75 | $(158,275) |
Barclays | USD PUT/RUB CALL | $25,000,000 | June 2021 | $72.50 | $(142,900) |
Credit Agricole | NZD PUT/USD CALL | $15,000,000 | July 2021 | $0.70 | $(46,530) |
HSBC | USD PUT/ZAR CALL | $30,000,000 | June 2021 | $13.50 | $(140,670) |
Morgan Stanley | AUD PUT/USD CALL | $17,500,000 | July 2021 | $0.76 | $(96,163) |
(Premiums Received $4,992,231) | $(2,975,978) |
Affiliates | Value as of 11/30/2020 | Purchases at Cost | Proceeds from Sales |
Bank Loan Core Fund | $705,910,081 | $31,614,330 | $(10,000,000) |
Emerging Markets Core Fund | $507,797,675 | $106,327,631 | $(8,000,000) |
Federated Hermes Government Obligations Fund, Premier Shares* | $12,088,767 | $745,133,178 | $(706,346,218) |
Federated Hermes Institutional Prime Value Obligations Fund, Institutional Shares* | $30,676,679 | $2,742,904,359 | $(2,513,220,197) |
High Yield Bond Core Fund | $779,999,966 | $277,643,639 | $— |
Mortgage Core Fund | $1,846,468,963 | $— | $(305,000,000) |
Project and Trade Finance Core Fund | $417,634,947 | $57,401,160 | $— |
TOTAL OF AFFILIATED TRANSACTIONS | $4,300,577,078 | $3,961,024,297 | $(3,542,566,415) |
Change in Unrealized Appreciation/ Depreciation | Net Realized Gain/ (Loss) | Value as of 5/31/2021 | Shares Held as of 5/31/2021** | Dividend Income |
$12,900,365 | $(272,537) | $740,152,239 | 76,541,079 | $15,610,175 |
$149,327 | $46,287 | $606,320,920 | 58,980,634 | $19,125,050 |
$— | $— | $50,875,727 | 50,875,727 | $3,260 |
$(9,388) | $(18,721) | $260,332,732 | 260,254,656 | $47,180 |
$11,642,354 | $— | $1,069,285,959 | 168,391,490 | $25,149,711 |
$(34,388,145) | $11,404,015 | $1,518,484,833 | 153,227,531 | $19,377,173 |
$(297,861) | $— | $474,738,246 | 53,582,195 | $5,105,975 |
$(10,003,348) | $11,159,044 | $4,720,190,656 | 821,853,312 | $84,418,524 |
* | All or a portion of the balance/activity for the fund relates to cash collateral received on securities lending transactions. |
** | At May 31, 2021, the Fund owns a majority of the outstanding shares of beneficial interest of each of Mortgage Core Fund and Project and Trade Finance Core Fund. |
1 | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
2 | Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security coupons are based on the weighted average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an index and spread in their description above. |
3 | Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Directors”). |
4 | All or a portion of this security is pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding futures contracts. |
5 | 7-day net yield. |
6 | Also represents cost for federal tax purposes. |
7 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
8 | Non-income-producing security. |
The following is a summary of the inputs used, as of May 31, 2021, in valuing the Fund’s assets carried at fair value:
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Corporate Bonds | $— | $3,765,984,373 | $26,845 | $3,766,011,218 |
U.S. Treasuries | — | 2,185,220,289 | — | 2,185,220,289 |
Commercial Mortgage- Backed Securities | — | 110,101,293 | — | 110,101,293 |
Foreign Governments/Agencies | — | 55,096,294 | — | 55,096,294 |
Asset-Backed Securities | — | 42,112,064 | — | 42,112,064 |
Mortgage-Backed Securities | — | 3,756,617 | — | 3,756,617 |
Municipal Bond | — | 480,565 | — | 480,565 |
Collateralized Mortgage Obligation | — | 72,107 | — | 72,107 |
Adjustable Rate Mortgages | — | 5,572 | — | 5,572 |
Purchased Call Options | — | 667,225 | — | 667,225 |
Purchased Put Option | 968,750 | — | — | 968,750 |
Investment Companies1 | 4,245,452,410 | — | — | 4,720,190,656 |
TOTAL SECURITIES | $4,246,421,160 | $6,163,496,399 | $26,845 | $10,884,682,650 |
Other Financial Instruments: | ||||
Assets | ||||
Futures Contracts | $1,268,714 | $— | $— | $1,268,714 |
Foreign Exchange Contracts | — | 2,872,744 | — | 2,872,744 |
Liabilities | ||||
Futures Contracts | (5,171,522) | — | — | (5,171,522) |
Foreign Exchange Contracts | — | (2,797,231) | — | (2,797,231) |
Written Options Contracts | — | (2,975,978) | — | (2,975,978) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(3,902,808) | $(2,900,465) | $— | $(6,803,273) |
1 | As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $474,738,246 is measured at fair value using the net asset value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column. The amount included herein is intended to permit reconciliation of the fair value classifications to the amounts presented on the Statements of Assets and Liabilities. The price of shares redeemed of Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days after receipt of a shareholder redemption request. |
The following acronym(s) are used throughout this portfolio: | ||
ARM | —Adjustable Rate Mortgage | |
AUD | —Australian Dollar | |
BKNT | —Bank Notes | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CNY | —Chinese Yuan Renminbi | |
COP | —Colombian Peso | |
EUR | —Euro Currency | |
FNMA | —Federal National Mortgage Association | |
FREMF | —Freddie Mac Multifamily K-Deals | |
GBP | —British Pound | |
GMTN | —Global Medium Term Note | |
GNMA | —Government National Mortgage Association | |
IDR | —Indonesian Rupiah | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
LIBOR | —London Interbank Offered Rate | |
MTN | —Medium Term Note | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
REIT | —Real Estate Investment Trust | |
REMIC | —Real Estate Mortgage Investment Conduit | |
USD | —United States Dollar |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.13 | 0.26 | 0.32 | 0.30 | 0.29 | 0.31 |
Net realized and unrealized gain (loss) | (0.18) | 0.67 | 0.70 | (0.52) | 0.12 | 0.03 |
Total From Investment Operations | (0.05) | 0.93 | 1.02 | (0.22) | 0.41 | 0.34 |
Less Distributions: | ||||||
Distributions from net investment income | (0.13) | (0.26) | (0.32) | (0.30) | (0.29) | (0.32) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.35) | (0.26) | (0.32) | (0.30) | (0.32) | (0.32) |
Net Asset Value, End of Period | $11.33 | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Total Return2 | (0.38)% | 8.47% | 9.95% | (2.01)% | 3.82% | 3.17% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.92%4 | 0.92% | 0.92% | 0.92% | 0.92% | 0.92% |
Net investment income | 2.29%4 | 2.31% | 2.95% | 2.82% | 2.69% | 2.84% |
Expense waiver/reimbursement5 | 0.04%4 | 0.05% | 0.06% | 0.07% | 0.07% | 0.08% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $198,380 | $201,349 | $171,858 | $184,434 | $216,294 | $358,016 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.09 | 0.20 | 0.26 | 0.24 | 0.23 | 0.25 |
Net realized and unrealized gain (loss) | (0.17) | 0.66 | 0.70 | (0.51) | 0.12 | 0.03 |
Total From Investment Operations | (0.08) | 0.86 | 0.96 | (0.27) | 0.35 | 0.28 |
Less Distributions: | ||||||
Distributions from net investment income | (0.10) | (0.19) | (0.26) | (0.25) | (0.23) | (0.26) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.32) | (0.19) | (0.26) | (0.25) | (0.26) | (0.26) |
Net Asset Value, End of Period | $11.33 | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Total Return2 | (0.66)% | 7.88% | 9.36% | (2.54)% | 3.26% | 2.61% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.49%4 | 1.47% | 1.46% | 1.47% | 1.46% | 1.47% |
Net investment income | 1.72%4 | 1.78% | 2.42% | 2.26% | 2.15% | 2.29% |
Expense waiver/reimbursement5 | 0.03%4 | 0.04% | 0.04% | 0.05% | 0.07% | 0.08% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $3,251 | $4,386 | $6,440 | $8,244 | $14,521 | $19,723 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.10 | 0.21 | 0.27 | 0.25 | 0.23 | 0.25 |
Net realized and unrealized gain (loss) | (0.18) | 0.66 | 0.70 | (0.52) | 0.12 | 0.03 |
Total From Investment Operations | (0.08) | 0.87 | 0.97 | (0.27) | 0.35 | 0.28 |
Less Distributions: | ||||||
Distributions from net investment income | (0.10) | (0.20) | (0.27) | (0.25) | (0.23) | (0.26) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.32) | (0.20) | (0.27) | (0.25) | (0.26) | (0.26) |
Net Asset Value, End of Period | $11.33 | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Total Return2 | (0.63)% | 7.93% | 9.40% | (2.51)% | 3.29% | 2.64% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.42%4 | 1.43% | 1.43% | 1.44% | 1.43% | 1.43% |
Net investment income | 1.78%4 | 1.81% | 2.45% | 2.31% | 2.18% | 2.32% |
Expense waiver/reimbursement5 | 0.03%4 | 0.04% | 0.04% | 0.04% | 0.05% | 0.05% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $45,188 | $52,265 | $47,994 | $52,798 | $75,399 | $90,932 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.12 | 0.24 | 0.30 | 0.29 | 0.27 | 0.29 |
Net realized and unrealized gain (loss) | (0.18) | 0.67 | 0.70 | (0.52) | 0.12 | 0.03 |
Total From Investment Operations | (0.06) | 0.91 | 1.00 | (0.23) | 0.39 | 0.32 |
Less Distributions: | ||||||
Distributions from net investment income | (0.12) | (0.24) | (0.30) | (0.29) | (0.27) | (0.30) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.34) | (0.24) | (0.30) | (0.29) | (0.30) | (0.30) |
Net Asset Value, End of Period | $11.33 | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Total Return2 | (0.47)% | 8.27% | 9.77% | (2.17)% | 3.64% | 2.99% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 1.11%4 | 1.11% | 1.09% | 1.10% | 1.09% | 1.09% |
Net investment income | 2.10%4 | 2.14% | 2.79% | 2.65% | 2.51% | 2.66% |
Expense waiver/reimbursement5 | 0.04%4 | 0.04% | 0.04% | 0.04% | 0.05% | 0.05% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $35,664 | $38,182 | $40,574 | $43,512 | $53,603 | $61,863 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.16 | 0.33 | 0.38 | 0.36 | 0.35 | 0.37 |
Net realized and unrealized gain (loss) | (0.17) | 0.66 | 0.70 | (0.52) | 0.12 | 0.03 |
Total From Investment Operations | (0.01) | 0.99 | 1.08 | (0.16) | 0.47 | 0.40 |
Less Distributions: | ||||||
Distributions from net investment income | (0.16) | (0.32) | (0.38) | (0.36) | (0.35) | (0.38) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.38) | (0.32) | (0.38) | (0.36) | (0.38) | (0.38) |
Net Asset Value, End of Period | $11.34 | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Total Return2 | (0.02)% | 9.06% | 10.55% | (1.47)% | 4.39% | 3.74% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.37%4 | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% |
Net investment income | 2.84%4 | 2.86% | 3.50% | 3.38% | 3.23% | 3.38% |
Expense waiver/ reimbursement5 | 0.07%4 | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $7,932,975 | $7,510,994 | $6,419,153 | $5,855,756 | $5,713,188 | $5,519,156 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.14 | 0.29 | 0.34 | 0.32 | 0.31 | 0.34 |
Net realized and unrealized gain (loss) | (0.17) | 0.66 | 0.71 | (0.51) | 0.13 | 0.03 |
Total From Investment Operations | (0.03) | 0.95 | 1.05 | (0.19) | 0.44 | 0.37 |
Less Distributions: | ||||||
Distributions from net investment income | (0.15) | (0.28) | (0.35) | (0.33) | (0.32) | (0.35) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.37) | (0.28) | (0.35) | (0.33) | (0.35) | (0.35) |
Net Asset Value, End of Period | $11.33 | $11.73 | $11.06 | $10.36 | $10.88 | $10.79 |
Total Return2 | (0.26)% | 8.73% | 10.22% | (1.76)% | 4.08% | 3.43% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.67%4 | 0.67% | 0.67% | 0.67% | 0.67% | 0.67% |
Net investment income | 2.53%4 | 2.58% | 3.21% | 3.07% | 2.94% | 3.09% |
Expense waiver/reimbursement5 | 0.26%4 | 0.27% | 0.27% | 0.27% | 0.28% | 0.28% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $288,332 | $356,898 | $393,416 | $425,188 | $503,342 | $555,265 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended November 30, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $11.73 | $11.06 | $10.36 | $10.87 | $10.78 | $10.77 |
Income From Investment Operations: | ||||||
Net investment income (loss) | 0.16 | 0.33 | 0.38 | 0.36 | 0.36 | 0.38 |
Net realized and unrealized gain (loss) | (0.17) | 0.66 | 0.70 | (0.51) | 0.11 | 0.01 |
Total From Investment Operations | (0.01) | 0.99 | 1.08 | (0.15) | 0.47 | 0.39 |
Less Distributions: | ||||||
Distributions from net investment income | (0.17) | (0.32) | (0.38) | (0.36) | (0.35) | (0.38) |
Distributions from net realized gain | (0.22) | — | — | — | (0.03) | (0.00)1 |
Total Distributions | (0.39) | (0.32) | (0.38) | (0.36) | (0.38) | (0.38) |
Net Asset Value, End of Period | $11.33 | $11.73 | $11.06 | $10.36 | $10.87 | $10.78 |
Total Return2 | (0.10)% | 9.07% | 10.56% | (1.37)% | 4.40% | 3.65% |
Ratios to Average Net Assets: | ||||||
Net expenses3 | 0.36%4 | 0.36% | 0.36% | 0.36% | 0.36% | 0.36% |
Net investment income | 2.85%4 | 2.87% | 3.50% | 3.39% | 3.20% | 3.39% |
Expense waiver/reimbursement5 | 0.03%4 | 0.04% | 0.04% | 0.04% | 0.05% | 0.05% |
Supplemental Data: | ||||||
Net assets, end of period (000 omitted) | $2,149,447 | $1,924,055 | $1,498,931 | $1,079,125 | $1,016,255 | $122,349 |
Portfolio turnover | 28% | 88% | 43% | 48% | 23% | 33% |
1 | Represents less than $0.01. |
2 | Based on net asset value. Total returns for periods of less than one year are not annualized. |
3 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
4 | Computed on an annualized basis. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
Assets: | |
Investment in securities, at value including $146,689,653 of securities loaned and $4,720,190,656 of investment in affiliated holdings* (identified cost $10,458,525,333) | $10,884,682,650 |
Due from broker (Note 2) | 2,527,600 |
Income receivable | 32,342,101 |
Income receivable from affiliated holdings | 14,306,228 |
Receivable for shares sold | 9,808,487 |
Unrealized appreciation on foreign exchange contracts | 2,872,744 |
Total Assets | 10,946,539,810 |
Liabilities: | |
Payable for investments purchased | 114,341,219 |
Payable for shares redeemed | 12,666,285 |
Written options outstanding (premium received $4,992,231), at value | 2,975,978 |
Unrealized depreciation on foreign exchange contracts | 2,797,231 |
Payable for variation margin on futures contracts | 3,200,396 |
Payable for collateral due to broker for securities lending | 149,675,727 |
Income distribution payable | 6,468,269 |
Payable for investment adviser fee (Note 5) | 310,710 |
Payable for administrative fee (Note 5) | 91,132 |
Payable for distribution services fee (Note 5) | 100,949 |
Payable for other service fees (Notes 2 and 5) | 114,498 |
Accrued expenses (Note 5) | 558,567 |
Total Liabilities | 293,300,961 |
Net assets for 939,934,633 shares outstanding | $10,653,238,849 |
Net Assets Consist of: | |
Paid-in capital | $10,197,453,733 |
Total distributable earnings (loss) | 455,785,116 |
Total Net Assets | $10,653,238,849 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
Class A Shares: | |
Net asset value per share ($198,380,492 ÷ 17,503,498 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.33 |
Offering price per share (100/95.50 of $11.33) | $11.86 |
Redemption proceeds per share | $11.33 |
Class B Shares: | |
Net asset value per share ($3,251,372 ÷ 286,936 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.33 |
Offering price per share | $11.33 |
Redemption proceeds per share (94.50/100 of $11.33) | $10.71 |
Class C Shares: | |
Net asset value per share ($45,187,729 ÷ 3,987,294 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.33 |
Offering price per share | $11.33 |
Redemption proceeds per share (99.00/100 of $11.33) | $11.22 |
Class R Shares: | |
Net asset value per share ($35,664,326 ÷ 3,146,516 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.33 |
Offering price per share | $11.33 |
Redemption proceeds per share | $11.33 |
Institutional Shares: | |
Net asset value per share ($7,932,975,271 ÷ 699,863,571 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.34 |
Offering price per share | $11.34 |
Redemption proceeds per share | $11.34 |
Service Shares: | |
Net asset value per share ($288,332,307 ÷ 25,439,205 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.33 |
Offering price per share | $11.33 |
Redemption proceeds per share | $11.33 |
Class R6 Shares: | |
Net asset value per share ($2,149,447,352 ÷ 189,707,613 shares outstanding), $0.001 par value, 1,000,000,000 shares authorized | $11.33 |
Offering price per share | $11.33 |
Redemption proceeds per share | $11.33 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Dividends (including $84,399,194 received from affiliated holdings*) | $86,323,807 |
Interest | 77,902,097 |
Net income on securities loaned (includes $19,330 earned from affiliated holdings* related to cash collateral balances) (Note 2) | 196,749 |
TOTAL INCOME | 164,422,653 |
Expenses: | |
Investment adviser fee (Note 5) | 15,353,562 |
Administrative fee (Note 5) | 4,004,062 |
Custodian fees | 140,137 |
Transfer agent fees (Note 2) | 2,350,195 |
Directors’/Trustees’ fees (Note 5) | 25,978 |
Auditing fees | 17,651 |
Legal fees | 5,376 |
Portfolio accounting fees | 154,511 |
Distribution services fee (Note 5) | 945,837 |
Other service fees (Notes 2 and 5) | 716,740 |
Share registration costs | 162,196 |
Printing and postage | 89,026 |
Miscellaneous (Note 5) | 36,834 |
TOTAL EXPENSES | 24,002,105 |
Waivers and Reimbursements: | |
Waiver/reimbursement of investment adviser fee (Note 5) | (1,737,319) |
Waiver/reimbursement of other operating expenses (Notes 2 and 5) | (1,725,257) |
TOTAL WAIVERS AND REIMBURSEMENTS | (3,462,576) |
Net expenses | 20,539,529 |
Net investment income | 143,883,124 |
Realized and Unrealized Gain (Loss) on Investments, Foreign Currency Transactions, Foreign Exchange Contracts, Futures Contracts, Written Options and Swap Contracts: | |
Net realized gain on investments (including net realized gain of $11,159,044 on sales of investments in affiliated holdings*) | $32,596,617 |
Net realized loss on foreign currency transactions | (4,259,450) |
Net realized loss on foreign exchange contracts | (151,695) |
Net realized gain on futures contracts | 64,002,026 |
Net realized gain on written options | 10,283,954 |
Net realized loss on swap contracts | (302) |
Net change in unrealized appreciation of investments (including net change in unrealized appreciation of $(10,003,348) of investments in affiliated holdings*) | (249,186,082) |
Net change in unrealized appreciation of translation of assets and liabilities in foreign currency | (216) |
Net change in unrealized appreciation of foreign exchange contracts | (613,691) |
Net change in unrealized appreciation of futures contracts | (6,626,286) |
Net change in unrealized depreciation of written options | 2,052,848 |
Net realized and unrealized gain (loss) on investments, foreign currency transactions, foreign exchange contracts, futures contracts, written options and swap contracts | (151,902,277) |
Change in net assets resulting from operations | $(8,019,153) |
* | See information listed after the Fund’s Portfolio of Investments. |
Six Months Ended (unaudited) 5/31/2021 | Year Ended 11/30/2020 | |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $143,883,124 | $258,770,989 |
Net realized gain (loss) | 102,471,150 | 279,327,978 |
Net change in unrealized appreciation/depreciation | (254,373,427) | 234,289,606 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | (8,019,153) | 772,388,573 |
Distributions to Shareholders: | ||
Class A Shares | (6,258,825) | (4,068,170) |
Class B Shares | (113,977) | (91,866) |
Class C Shares | (1,476,594) | (866,832) |
Class R Shares | (1,125,436) | (803,712) |
Institutional Shares | (252,119,418) | (187,960,112) |
Service Shares | (10,833,910) | (9,328,955) |
Class R6 Shares | (67,563,019) | (49,299,034) |
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS | (339,491,179) | (252,418,681) |
Share Transactions: | ||
Proceeds from sale of shares | 2,122,038,624 | 3,445,307,467 |
Net asset value of shares issued to shareholders in payment of distributions declared | 269,153,214 | 191,095,124 |
Cost of shares redeemed | (1,478,570,994) | (2,646,611,323) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | 912,620,844 | 989,791,268 |
Change in net assets | 565,110,512 | 1,509,761,160 |
Net Assets: | ||
Beginning of period | 10,088,128,337 | 8,578,367,177 |
End of period | $10,653,238,849 | $10,088,128,337 |
Transfer Agent Fees Incurred | Transfer Agent Fees Reimbursed | |
Class A Shares | $78,718 | $(9,574) |
Class B Shares | 2,431 | — |
Class C Shares | 17,157 | — |
Class R Shares | 48,125 | (749) |
Institutional Shares | 2,040,174 | (1,347,277) |
Service Shares | 78,228 | (47,651) |
Class R6 Shares | 85,362 | — |
TOTAL | $2,350,195 | $(1,405,251) |
Other Service Fees Incurred | |
Class A Shares | $250,728 |
Class B Shares | 4,619 |
Class C Shares | 62,671 |
Service Shares | 398,722 |
TOTAL | $716,740 |
Market Value of Securities Loaned | Collateral Received |
$146,689,653 | $149,675,727 |
Fair Value of Derivative Instruments | ||||
Assets | Liabilities | |||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |
Derivatives not accounted for as hedging instruments under ASC Topic 815 | ||||
Interest rate contracts | $— | Payable for variation margin on futures contracts | $3,902,808* | |
Interest rate contracts | Purchased options, within Investment in securities, at value | 968,750 | — | |
Foreign exchange contracts | Unrealized appreciation on foreign exchange contracts | 2,872,744 | Unrealized depreciation on foreign exchange contracts | 2,797,231 |
Foreign exchange contracts | — | Written options outstanding, at value | 2,975,978 | |
Foreign exchange contracts | Purchased options, within Investment in securities at value | 667,225 | — | |
Total derivatives not accounted for as hedging instruments under ASC Topic 815 | $4,508,719 | $9,676,017 |
* | Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
Credit Default Swaps | Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts1 | Written Options Contracts | Total | |
Interest rate contracts | $— | $64,002,026 | $— | $432,210 | $2,514,270 | $66,948,506 |
Foreign exchange contracts | — | — | (151,695) | 600,060 | 7,769,684 | 8,218,049 |
Credit contracts | (302) | — | — | — | — | (302) |
TOTAL | $(302) | $64,002,026 | $(151,695) | $1,032,270 | $10,283,954 | $75,166,253 |
1 | The net realized gain on Purchased Options Contracts is found within the Net realized gain on investments on the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||
Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts2 | Written Options Contracts | Total | |
Interest rate contracts | $(6,626,286) | $— | $(285,950) | $— | $(6,912,236) |
Foreign exchange contracts | — | (613,691) | 22,643 | 2,052,848 | 1,461,800 |
TOTAL | $(6,626,286) | $(613,691) | $(263,307) | $2,052,848 | $(5,450,436) |
2 | The net change in unrealized appreciation/depreciation of Purchased Options Contracts is found within the Net change in unrealized appreciation of investments on the Statement of Operations. |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class A Shares: | Shares | Amount | Shares | Amount |
Shares sold | 2,446,953 | $28,014,027 | 5,183,650 | $59,315,319 |
Shares issued to shareholders in payment of distributions declared | 509,458 | 5,856,591 | 332,612 | 3,790,564 |
Shares redeemed | (2,616,486) | (29,777,641) | (3,892,878) | (44,125,968) |
NET CHANGE RESULTING FROM CLASS A SHARE TRANSACTIONS | 339,925 | $4,092,977 | 1,623,384 | $18,979,915 |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class B Shares: | Shares | Amount | Shares | Amount |
Shares sold | 12,855 | $145,805 | 75,277 | $854,414 |
Shares issued to shareholders in payment of distributions declared | 9,843 | 113,246 | 7,884 | 89,523 |
Shares redeemed | (109,709) | (1,257,457) | (291,676) | (3,303,875) |
NET CHANGE RESULTING FROM CLASS B SHARE TRANSACTIONS | (87,011) | $(998,406) | (208,515) | $(2,359,938) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class C Shares: | Shares | Amount | Shares | Amount |
Shares sold | 538,408 | $6,192,018 | 1,904,538 | $21,735,385 |
Shares issued to shareholders in payment of distributions declared | 126,011 | 1,450,094 | 72,065 | 820,456 |
Shares redeemed | (1,132,759) | (12,906,450) | (1,861,214) | (21,172,076) |
NET CHANGE RESULTING FROM CLASS C SHARE TRANSACTIONS | (468,340) | $(5,264,338) | 115,389 | $1,383,765 |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class R Shares: | Shares | Amount | Shares | Amount |
Shares sold | 312,295 | $3,587,199 | 1,168,949 | $13,229,574 |
Shares issued to shareholders in payment of distributions declared | 97,236 | 1,118,387 | 68,171 | 776,161 |
Shares redeemed | (517,553) | (5,926,285) | (1,651,261) | (18,619,915) |
NET CHANGE RESULTING FROM CLASS R SHARE TRANSACTIONS | (108,022) | $(1,220,699) | (414,141) | $(4,614,180) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Institutional Shares: | Shares | Amount | Shares | Amount |
Shares sold | 138,582,553 | $1,582,353,363 | 220,849,464 | $2,517,124,360 |
Shares issued to shareholders in payment of distributions declared | 18,224,859 | 209,352,982 | 13,049,463 | 148,848,093 |
Shares redeemed | (97,139,689) | (1,113,804,896) | (174,101,437) | (1,955,345,335) |
NET CHANGE RESULTING FROM INSTITUTIONAL SHARE TRANSACTIONS | 59,667,723 | $677,901,449 | 59,797,490 | $710,627,118 |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Service Shares: | Shares | Amount | Shares | Amount |
Shares sold | 5,920,866 | $67,348,179 | 11,474,182 | $130,247,926 |
Shares issued to shareholders in payment of distributions declared | 771,611 | 8,874,183 | 694,751 | 7,901,958 |
Shares redeemed | (11,675,580) | (132,612,316) | (17,318,205) | (196,381,561) |
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS | (4,983,103) | $(56,389,954) | (5,149,272) | $(58,231,677) |
Six Months Ended 5/31/2021 | Year Ended 11/30/2020 | |||
Class R6 Shares: | Shares | Amount | Shares | Amount |
Shares sold | 37,923,871 | $434,398,033 | 62,023,908 | $702,800,489 |
Shares issued to shareholders in payment of distributions declared | 3,691,451 | 42,387,731 | 2,532,615 | 28,868,369 |
Shares redeemed | (15,968,760) | (182,285,949) | (36,074,399) | (407,662,593) |
NET CHANGE RESULTING FROM CLASS R6 SHARE TRANSACTIONS | 25,646,562 | $294,499,815 | 28,482,124 | $324,006,265 |
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS | 80,007,734 | $912,620,844 | 84,246,459 | $989,791,268 |
Short-Term | Long-Term | Total |
$— | $657,633 | $657,633 |
Administrative Fee | Average Daily Net Assets of the Investment Complex |
0.100% | on assets up to $50 billion |
0.075% | on assets over $50 billion |
Percentage of Average Daily Net Assets of Class | |
Class A Shares | 0.25% |
Class B Shares | 0.75% |
Class C Shares | 0.75% |
Class R Shares | 0.50% |
Service Shares | 0.25% |
Distribution Services Fees Incurred | Distribution Services Fees Waived | |
Class A Shares | $251,329 | $— |
Class B Shares | 13,859 | — |
Class C Shares | 188,792 | — |
Class R Shares | 91,849 | — |
Service Shares | 400,008 | (320,006) |
TOTAL | $945,837 | $(320,006) |
Purchases | $1,232,857,482 |
Sales | $1,164,340,844 |
Beginning Account Value 12/1/2020 | Ending Account Value 5/31/2021 | Expenses Paid During Period1 | |
Actual: | |||
Class A Shares | $1,000 | $996.20 | $4.58 |
Class B Shares | $1,000 | $993.40 | $7.41 |
Class C Shares | $1,000 | $993.70 | $7.06 |
Class R Shares | $1,000 | $995.30 | $5.52 |
Institutional Shares | $1,000 | $999.80 | $1.84 |
Service Shares | $1,000 | $997.40 | $3.34 |
Class R6 Shares | $1,000 | $999.00 | $1.79 |
Hypothetical (assuming a 5% return before expenses): | |||
Class A Shares | $1,000 | $1,020.34 | $4.63 |
Class B Shares | $1,000 | $1,017.50 | $7.49 |
Class C Shares | $1,000 | $1,017.85 | $7.14 |
Class R Shares | $1,000 | $1,019.40 | $5.59 |
Institutional Shares | $1,000 | $1,023.09 | $1.87 |
Service Shares | $1,000 | $1,021.59 | $3.38 |
Class R6 Shares | $1,000 | $1,023.14 | $1.82 |
1 | Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). The annualized net expense ratios are as follows: |
Class A Shares | 0.92% |
Class B Shares | 1.49% |
Class C Shares | 1.42% |
Class R Shares | 1.11% |
Institutional Shares | 0.37% |
Service Shares | 0.67% |
Class R6 Shares | 0.36% |
Security Type | Percentage of Total Net Assets |
Mortgage-Backed Securities | 84.9% |
Asset-Backed Securities | 13.5% |
Commercial Mortgage-Backed Securities | 2.7% |
Collateralized Mortgage Obligations | 0.0% |
Non-Agency Mortgage-Backed Securities | 0.0% |
Cash Equivalents2 | 9.6% |
Other Assets and Liabilities—Net3 | (19.7)% |
TOTAL | 100% |
1 | See the Fund’s Private Offering Memorandum for a description of the principal types of securities in which the Fund invests. |
2 | Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements. |
3 | Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities. |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— 84.9% | |||
Federal Home Loan Mortgage Corporation— 27.6% | |||
$ 38,937,276 | 1.500%, 10/1/2035 | $40,098,230 | |
2,444,910 | 2.500%, 10/1/2049 | 2,576,962 | |
24,699,410 | 2.500%, 8/1/2050 | 26,002,570 | |
2,429,756 | 3.000%, 4/1/2031 | 2,585,776 | |
2,516,521 | 3.000%, 1/1/2032 | 2,691,560 | |
3,394,741 | 3.000%, 3/1/2032 | 3,647,734 | |
4,006,308 | 3.000%, 3/1/2032 | 4,282,342 | |
3,498,797 | 3.000%, 6/1/2032 | 3,734,397 | |
4,611,530 | 3.000%, 6/1/2032 | 4,932,145 | |
11,521,139 | 3.000%, 11/1/2032 | 12,168,049 | |
1,732,651 | 3.000%, 12/1/2032 | 1,846,183 | |
6,504,225 | 3.000%, 1/1/2033 | 6,952,364 | |
22,698,390 | 3.000%, 2/1/2033 | 24,531,848 | |
2,938,558 | 3.000%, 7/1/2033 | 3,160,308 | |
20,555,174 | 3.000%, 1/1/2043 | 22,243,545 | |
4,726,300 | 3.000%, 11/1/2044 | 4,944,660 | |
957,340 | 3.000%, 6/1/2045 | 1,012,639 | |
6,721,801 | 3.000%, 10/1/2045 | 7,217,205 | |
877,065 | 3.000%, 5/1/2046 | 946,639 | |
15,556,591 | 3.000%, 6/1/2046 | 16,659,374 | |
7,199,890 | 3.000%, 6/1/2046 | 7,883,527 | |
8,531,895 | 3.000%, 7/1/2046 | 9,240,691 | |
2,683,989 | 3.000%, 9/1/2046 | 2,874,253 | |
7,103,208 | 3.000%, 10/1/2046 | 7,666,677 | |
7,696,487 | 3.000%, 10/1/2046 | 8,254,105 | |
9,201,093 | 3.000%, 10/1/2046 | 9,853,345 | |
6,466,094 | 3.000%, 11/1/2046 | 6,817,371 | |
3,723,824 | 3.000%, 11/1/2046 | 3,987,800 | |
8,400,518 | 3.000%, 12/1/2046 | 9,098,399 | |
13,247,515 | 3.000%, 1/1/2047 | 13,950,640 | |
12,783,242 | 3.000%, 5/1/2047 | 13,709,400 | |
262,202 | 3.500%, 6/1/2026 | 279,460 | |
426,854 | 3.500%, 6/1/2026 | 454,015 | |
144,323 | 3.500%, 7/1/2026 | 153,507 | |
6,676,626 | 3.500%, 7/1/2042 | 7,325,410 | |
6,195,679 | 3.500%, 9/1/2043 | 6,722,218 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 3,392,448 | 3.500%, 5/1/2046 | $3,633,049 | |
27,078,565 | 3.500%, 7/1/2046 | 29,642,158 | |
27,035,314 | 3.500%, 11/1/2047 | 28,800,650 | |
13,245,941 | 3.500%, 11/1/2047 | 14,061,194 | |
3,115,233 | 3.500%, 12/1/2047 | 3,410,159 | |
21,768,824 | 3.500%, 12/1/2047 | 23,373,946 | |
11,404,334 | 3.500%, 2/1/2048 | 12,173,242 | |
18,774,160 | 3.500%, 2/1/2048 | 20,187,806 | |
144,273 | 4.000%, 5/1/2024 | 153,003 | |
998,722 | 4.000%, 8/1/2025 | 1,059,152 | |
111,119 | 4.000%, 5/1/2026 | 117,947 | |
1,635,125 | 4.000%, 5/1/2026 | 1,735,594 | |
1,489,523 | 4.000%, 12/1/2040 | 1,651,622 | |
8,199,490 | 4.000%, 12/1/2041 | 9,087,559 | |
1,144,122 | 4.000%, 1/1/2042 | 1,268,039 | |
15,500,345 | 4.000%, 6/1/2047 | 17,103,589 | |
15,080,286 | 4.000%, 10/1/2047 | 16,422,360 | |
8,148,755 | 4.000%, 11/1/2047 | 8,735,936 | |
9,457,659 | 4.000%, 12/1/2047 | 10,301,416 | |
5,771,506 | 4.000%, 2/1/2048 | 6,214,082 | |
14,184,548 | 4.000%, 4/1/2048 | 15,202,223 | |
7,806,415 | 4.000%, 5/1/2048 | 8,359,170 | |
6,960,155 | 4.000%, 6/1/2048 | 7,582,622 | |
121 | 4.500%, 3/1/2021 | 121 | |
16,208 | 4.500%, 9/1/2021 | 16,274 | |
105,143 | 4.500%, 7/1/2024 | 110,110 | |
122,429 | 4.500%, 8/1/2024 | 128,341 | |
258,613 | 4.500%, 9/1/2024 | 271,104 | |
141,378 | 4.500%, 9/1/2024 | 147,753 | |
150,417 | 4.500%, 6/1/2025 | 158,145 | |
803,234 | 4.500%, 11/1/2039 | 899,778 | |
2,282,506 | 4.500%, 5/1/2040 | 2,556,851 | |
240,719 | 4.500%, 6/1/2040 | 269,652 | |
384,312 | 4.500%, 7/1/2040 | 430,504 | |
696,752 | 4.500%, 8/1/2040 | 780,498 | |
1,363,379 | 4.500%, 8/1/2040 | 1,527,250 | |
4,231,352 | 4.500%, 9/1/2040 | 4,739,938 | |
886,281 | 4.500%, 7/1/2041 | 990,592 | |
414,037 | 4.500%, 7/1/2041 | 463,414 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 466,549 | 4.500%, 7/1/2041 | $521,459 | |
8,695,031 | 4.500%, 2/1/2048 | 9,698,147 | |
8,802,482 | 4.500%, 5/1/2048 | 9,568,911 | |
4,803,321 | 4.500%, 10/1/2048 | 5,203,532 | |
4,262 | 5.000%, 10/1/2021 | 4,315 | |
13,890 | 5.000%, 11/1/2021 | 14,062 | |
18,596 | 5.000%, 12/1/2021 | 18,884 | |
57,700 | 5.000%, 6/1/2023 | 59,862 | |
91,684 | 5.000%, 7/1/2023 | 95,235 | |
46,096 | 5.000%, 7/1/2023 | 47,880 | |
41,405 | 5.000%, 7/1/2025 | 42,956 | |
1,277,091 | 5.000%, 1/1/2034 | 1,452,439 | |
419,817 | 5.000%, 5/1/2034 | 477,941 | |
1,737 | 5.000%, 11/1/2035 | 1,996 | |
524,482 | 5.000%, 4/1/2036 | 602,852 | |
597 | 5.000%, 4/1/2036 | 688 | |
9,807 | 5.000%, 4/1/2036 | 11,279 | |
133,062 | 5.000%, 4/1/2036 | 153,355 | |
79,700 | 5.000%, 5/1/2036 | 92,056 | |
87,930 | 5.000%, 6/1/2036 | 101,018 | |
165,481 | 5.000%, 6/1/2036 | 188,979 | |
508,276 | 5.000%, 12/1/2037 | 586,954 | |
73,902 | 5.000%, 5/1/2038 | 85,442 | |
41,552 | 5.000%, 6/1/2038 | 47,883 | |
89,018 | 5.000%, 9/1/2038 | 102,521 | |
83,312 | 5.000%, 2/1/2039 | 96,047 | |
83,811 | 5.000%, 6/1/2039 | 96,731 | |
2,597,431 | 5.000%, 10/1/2039 | 2,994,984 | |
230,515 | 5.000%, 2/1/2040 | 265,797 | |
435,020 | 5.000%, 8/1/2040 | 501,466 | |
606 | 5.500%, 3/1/2021 | 608 | |
3,627 | 5.500%, 4/1/2021 | 3,632 | |
13,457 | 5.500%, 1/1/2022 | 13,694 | |
35,218 | 5.500%, 1/1/2022 | 35,899 | |
2,000 | 5.500%, 1/1/2022 | 2,039 | |
44,687 | 5.500%, 2/1/2022 | 45,551 | |
1,083,202 | 5.500%, 5/1/2034 | 1,252,046 | |
62,381 | 5.500%, 3/1/2036 | 73,034 | |
106,251 | 5.500%, 3/1/2036 | 124,041 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal Home Loan Mortgage Corporation— continued | |||
$ 26,672 | 5.500%, 3/1/2036 | $31,243 | |
104,797 | 5.500%, 3/1/2036 | 122,452 | |
252,361 | 5.500%, 6/1/2036 | 295,119 | |
112,946 | 5.500%, 6/1/2036 | 132,298 | |
67,820 | 5.500%, 6/1/2036 | 79,408 | |
84,893 | 5.500%, 9/1/2037 | 99,812 | |
275,811 | 5.500%, 9/1/2037 | 323,315 | |
119,679 | 5.500%, 12/1/2037 | 140,696 | |
19,040 | 5.500%, 3/1/2038 | 22,356 | |
11,039 | 6.000%, 7/1/2029 | 12,614 | |
29,289 | 6.000%, 2/1/2032 | 33,898 | |
27,782 | 6.000%, 5/1/2036 | 33,116 | |
58,682 | 6.000%, 8/1/2037 | 70,419 | |
239,141 | 6.000%, 9/1/2037 | 285,431 | |
5,421 | 6.500%, 3/1/2022 | 5,569 | |
8,521 | 6.500%, 6/1/2029 | 9,753 | |
5,076 | 6.500%, 6/1/2029 | 5,814 | |
3,743 | 6.500%, 7/1/2029 | 4,253 | |
206,342 | 6.500%, 11/1/2036 | 247,188 | |
489,103 | 6.500%, 10/1/2037 | 588,625 | |
2,681 | 6.500%, 4/1/2038 | 3,225 | |
2,254 | 6.500%, 4/1/2038 | 2,715 | |
8,180 | 7.000%, 4/1/2032 | 9,559 | |
122,438 | 7.000%, 4/1/2032 | 146,235 | |
53,388 | 7.000%, 9/1/2037 | 65,123 | |
20,966 | 7.500%, 8/1/2029 | 24,345 | |
20,569 | 7.500%, 10/1/2029 | 23,753 | |
11,108 | 7.500%, 11/1/2029 | 12,865 | |
13,191 | 7.500%, 4/1/2031 | 14,600 | |
13,314 | 7.500%, 5/1/2031 | 15,686 | |
2,803 | 8.000%, 3/1/2030 | 3,277 | |
34,043 | 8.000%, 1/1/2031 | 40,248 | |
47,255 | 8.000%, 2/1/2031 | 55,663 | |
52,842 | 8.000%, 3/1/2031 | 62,452 | |
1,171 | 8.500%, 9/1/2025 | 1,290 | |
337 | 8.500%, 9/1/2025 | 371 | |
TOTAL | 591,983,192 | ||
Federal National Mortgage Association— 31.2% | |||
13,496,469 | 2.000%, 9/1/2035 | 14,113,119 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 5,887,565 | 2.000%, 9/1/2050 | $6,123,527 | |
24,753,106 | 2.000%, 9/1/2050 | 25,741,295 | |
24,625,759 | 2.000%, 10/1/2050 | 25,612,711 | |
3,296,904 | 2.500%, 2/1/2028 | 3,458,564 | |
18,245,063 | 2.500%, 11/1/2049 | 19,293,211 | |
5,387,084 | 2.500%, 12/1/2049 | 5,678,044 | |
2,229,620 | 3.000%, 2/1/2032 | 2,373,486 | |
4,344,856 | 3.000%, 8/1/2043 | 4,635,206 | |
2,849,754 | 3.000%, 9/1/2043 | 3,040,191 | |
11,075,866 | 3.000%, 8/1/2046 | 11,878,324 | |
3,971,257 | 3.000%, 9/1/2046 | 4,283,798 | |
5,553,684 | 3.000%, 10/1/2046 | 5,860,600 | |
2,156,092 | 3.000%, 10/1/2046 | 2,308,934 | |
6,127,518 | 3.000%, 11/1/2046 | 6,460,401 | |
3,644,939 | 3.000%, 11/1/2046 | 3,903,323 | |
4,992,269 | 3.000%, 11/1/2046 | 5,332,122 | |
2,152,866 | 3.000%, 1/1/2047 | 2,267,132 | |
47,373,048 | 3.000%, 1/1/2047 | 49,887,420 | |
1,157,993 | 3.000%, 2/1/2047 | 1,254,194 | |
8,740,443 | 3.000%, 3/1/2047 | 9,215,277 | |
13,853,474 | 3.000%, 3/1/2047 | 14,857,172 | |
1,643,737 | 3.000%, 4/1/2047 | 1,759,746 | |
9,408,524 | 3.000%, 12/1/2047 | 10,090,181 | |
13,801,056 | 3.000%, 12/1/2047 | 14,878,587 | |
4,988,464 | 3.000%, 2/1/2048 | 5,356,119 | |
1,129,438 | 3.000%, 2/1/2048 | 1,212,679 | |
5,578,653 | 3.000%, 11/1/2049 | 5,961,912 | |
2,103,363 | 3.000%, 11/1/2049 | 2,200,540 | |
25,746,353 | 3.000%, 12/1/2049 | 26,935,860 | |
25,838,441 | 3.000%, 12/1/2049 | 27,032,203 | |
183,283 | 3.500%, 11/1/2025 | 194,602 | |
295,019 | 3.500%, 11/1/2025 | 313,238 | |
336,412 | 3.500%, 12/1/2025 | 357,818 | |
349,254 | 3.500%, 1/1/2026 | 371,477 | |
105,901 | 3.500%, 1/1/2026 | 112,640 | |
24,424,038 | 3.500%, 4/1/2033 | 26,687,987 | |
10,782,458 | 3.500%, 9/1/2042 | 11,894,236 | |
17,560,018 | 3.500%, 7/1/2045 | 19,244,417 | |
8,254,591 | 3.500%, 8/1/2046 | 8,889,813 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 10,305,543 | 3.500%, 8/1/2046 | $11,036,437 | |
14,533,090 | 3.500%, 9/1/2046 | 15,651,465 | |
7,420,531 | 3.500%, 11/1/2046 | 8,134,645 | |
7,188,259 | 3.500%, 2/1/2047 | 7,880,020 | |
16,331,333 | 3.500%, 11/1/2047 | 17,336,484 | |
15,477,289 | 3.500%, 12/1/2047 | 16,522,740 | |
9,141,180 | 3.500%, 4/1/2048 | 9,686,656 | |
268,786 | 4.000%, 12/1/2025 | 285,049 | |
271,681 | 4.000%, 7/1/2026 | 288,374 | |
2,086,878 | 4.000%, 2/1/2041 | 2,314,208 | |
5,313,755 | 4.000%, 12/1/2041 | 5,892,597 | |
2,148,259 | 4.000%, 3/1/2042 | 2,393,688 | |
4,084,182 | 4.000%, 4/1/2042 | 4,525,254 | |
1,635,652 | 4.000%, 3/1/2046 | 1,786,737 | |
2,653,817 | 4.000%, 7/1/2046 | 2,906,830 | |
2,618,409 | 4.000%, 9/1/2046 | 2,884,002 | |
4,446,991 | 4.000%, 11/1/2046 | 4,867,836 | |
17,778,031 | 4.000%, 6/1/2047 | 19,616,862 | |
6,558,585 | 4.000%, 10/1/2047 | 7,102,097 | |
8,984,758 | 4.000%, 10/1/2047 | 9,651,834 | |
6,620,780 | 4.000%, 11/1/2047 | 7,148,549 | |
8,860,937 | 4.000%, 12/1/2047 | 9,769,696 | |
5,374,947 | 4.000%, 1/1/2048 | 5,897,468 | |
9,878,147 | 4.000%, 2/1/2048 | 10,580,684 | |
8,793,637 | 4.000%, 2/1/2048 | 9,438,279 | |
15,221,512 | 4.000%, 2/1/2048 | 16,318,341 | |
3,140,596 | 4.000%, 2/1/2048 | 3,415,531 | |
6,416,666 | 4.000%, 2/1/2048 | 6,908,714 | |
2,799,709 | 4.000%, 3/1/2048 | 3,077,567 | |
2,553,373 | 4.000%, 3/1/2048 | 2,762,898 | |
7,830,212 | 4.000%, 5/1/2048 | 8,401,781 | |
2,288,507 | 4.000%, 6/1/2048 | 2,454,127 | |
8,335,808 | 4.000%, 6/1/2048 | 8,931,258 | |
4,932,585 | 4.000%, 7/1/2048 | 5,266,899 | |
156,776 | 4.500%, 2/1/2039 | 175,746 | |
847,936 | 4.500%, 5/1/2040 | 949,853 | |
2,333,194 | 4.500%, 10/1/2040 | 2,613,631 | |
287,363 | 4.500%, 11/1/2040 | 321,903 | |
3,008,914 | 4.500%, 4/1/2041 | 3,366,809 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 1,543,477 | 4.500%, 6/1/2041 | $1,725,137 | |
312,501 | 5.000%, 5/1/2023 | 324,205 | |
51,757 | 5.000%, 8/1/2023 | 53,826 | |
286,022 | 5.000%, 11/1/2023 | 299,188 | |
1,752,116 | 5.000%, 2/1/2036 | 2,018,616 | |
1,030,651 | 5.000%, 7/1/2040 | 1,188,398 | |
1,396,530 | 5.000%, 10/1/2041 | 1,608,096 | |
32,404 | 5.500%, 1/1/2032 | 37,181 | |
24,447 | 5.500%, 1/1/2032 | 28,052 | |
357,849 | 5.500%, 9/1/2034 | 416,207 | |
1,098,275 | 5.500%, 12/1/2034 | 1,277,418 | |
34,567 | 5.500%, 4/1/2035 | 40,099 | |
384,980 | 5.500%, 11/1/2035 | 450,718 | |
273,451 | 5.500%, 1/1/2036 | 318,907 | |
89,312 | 5.500%, 3/1/2036 | 104,015 | |
406,784 | 5.500%, 4/1/2036 | 475,915 | |
590,564 | 5.500%, 4/1/2036 | 688,089 | |
209,469 | 5.500%, 5/1/2036 | 245,517 | |
127,842 | 5.500%, 9/1/2036 | 149,021 | |
410,326 | 5.500%, 8/1/2037 | 478,696 | |
152,178 | 5.500%, 7/1/2038 | 178,906 | |
581,689 | 5.500%, 4/1/2041 | 677,437 | |
10,546 | 6.000%, 1/1/2029 | 11,866 | |
234 | 6.000%, 1/1/2029 | 235 | |
13,682 | 6.000%, 2/1/2029 | 15,394 | |
5,483 | 6.000%, 2/1/2029 | 6,171 | |
4,403 | 6.000%, 4/1/2029 | 5,013 | |
14,393 | 6.000%, 5/1/2029 | 16,376 | |
7,907 | 6.000%, 5/1/2029 | 8,914 | |
577,620 | 6.000%, 7/1/2034 | 681,540 | |
313,766 | 6.000%, 11/1/2034 | 369,181 | |
158,801 | 6.000%, 7/1/2036 | 190,109 | |
37,753 | 6.000%, 7/1/2036 | 45,132 | |
166,233 | 6.000%, 10/1/2037 | 199,502 | |
130,060 | 6.000%, 6/1/2038 | 155,569 | |
811,649 | 6.000%, 7/1/2038 | 971,795 | |
50,280 | 6.000%, 9/1/2038 | 60,177 | |
40,510 | 6.000%, 10/1/2038 | 48,680 | |
310,918 | 6.000%, 2/1/2039 | 373,873 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 26,047 | 6.500%, 9/1/2028 | $28,919 | |
3,602 | 6.500%, 8/1/2029 | 4,088 | |
4,999 | 6.500%, 6/1/2031 | 5,820 | |
13,932 | 6.500%, 6/1/2031 | 16,113 | |
2,069 | 6.500%, 6/1/2031 | 2,396 | |
5,186 | 6.500%, 6/1/2031 | 5,969 | |
31,808 | 6.500%, 12/1/2031 | 37,342 | |
2,985 | 6.500%, 1/1/2032 | 3,489 | |
43,526 | 6.500%, 3/1/2032 | 50,973 | |
157,403 | 6.500%, 4/1/2032 | 183,231 | |
48,606 | 6.500%, 5/1/2032 | 57,149 | |
240,651 | 6.500%, 7/1/2036 | 287,786 | |
11,140 | 6.500%, 8/1/2036 | 13,361 | |
13,850 | 6.500%, 9/1/2036 | 16,679 | |
74,566 | 6.500%, 12/1/2036 | 89,085 | |
100,461 | 6.500%, 9/1/2037 | 121,170 | |
6,200 | 6.500%, 12/1/2037 | 7,479 | |
68,604 | 6.500%, 10/1/2038 | 82,727 | |
501 | 7.000%, 7/1/2023 | 530 | |
12,443 | 7.000%, 2/1/2024 | 13,030 | |
636 | 7.000%, 5/1/2024 | 684 | |
1,727 | 7.000%, 7/1/2024 | 1,868 | |
1,026 | 7.000%, 7/1/2025 | 1,129 | |
12,384 | 7.000%, 9/1/2031 | 14,518 | |
5,771 | 7.000%, 9/1/2031 | 6,866 | |
88,366 | 7.000%, 11/1/2031 | 105,305 | |
6,216 | 7.000%, 12/1/2031 | 7,401 | |
58,692 | 7.000%, 1/1/2032 | 65,888 | |
27,284 | 7.000%, 2/1/2032 | 32,428 | |
35,400 | 7.000%, 3/1/2032 | 42,217 | |
210,759 | 7.000%, 3/1/2032 | 242,374 | |
5,411 | 7.000%, 4/1/2032 | 6,462 | |
22,850 | 7.000%, 4/1/2032 | 26,873 | |
115,864 | 7.000%, 4/1/2032 | 138,548 | |
13,190 | 7.000%, 6/1/2032 | 15,782 | |
239,432 | 7.000%, 6/1/2037 | 292,118 | |
906 | 7.500%, 1/1/2030 | 1,058 | |
9,295 | 7.500%, 9/1/2030 | 10,885 | |
6,723 | 7.500%, 5/1/2031 | 7,930 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Federal National Mortgage Association— continued | |||
$ 2,925 | 7.500%, 6/1/2031 | $3,437 | |
36,573 | 7.500%, 8/1/2031 | 43,167 | |
41,180 | 7.500%, 1/1/2032 | 47,515 | |
3,497 | 7.500%, 6/1/2033 | 4,030 | |
93 | 8.000%, 7/1/2023 | 96 | |
4,394 | 8.000%, 10/1/2026 | 4,974 | |
2,138 | 8.000%, 11/1/2029 | 2,489 | |
371 | 9.000%, 6/1/2025 | 410 | |
TOTAL | 667,732,614 | ||
Government National Mortgage Association— 6.4% | |||
24,761,362 | 2.500%, 9/20/2050 | 26,239,331 | |
24,857,453 | 2.500%, 10/20/2050 | 26,341,157 | |
13,503,498 | 3.000%, 1/20/2047 | 14,207,858 | |
1,299,053 | 3.500%, 8/15/2043 | 1,401,510 | |
844,554 | 3.500%, 8/15/2043 | 911,165 | |
13,672,649 | 3.500%, 3/20/2047 | 14,912,753 | |
17,386,836 | 3.500%, 11/20/2047 | 18,972,781 | |
1,213,390 | 4.000%, 9/15/2040 | 1,346,612 | |
3,101,265 | 4.000%, 10/15/2040 | 3,436,468 | |
1,437,304 | 4.000%, 1/15/2041 | 1,595,110 | |
1,806,653 | 4.000%, 10/15/2041 | 2,001,422 | |
12,069,704 | 4.000%, 6/15/2048 | 12,906,965 | |
302,563 | 4.500%, 1/15/2039 | 340,913 | |
266,765 | 4.500%, 6/15/2039 | 303,029 | |
915,177 | 4.500%, 10/15/2039 | 1,042,143 | |
321,390 | 4.500%, 1/15/2040 | 365,978 | |
166,141 | 4.500%, 6/15/2040 | 188,879 | |
231,910 | 4.500%, 9/15/2040 | 262,852 | |
249,755 | 4.500%, 2/15/2041 | 282,453 | |
956,878 | 4.500%, 3/15/2041 | 1,087,835 | |
95,370 | 4.500%, 5/15/2041 | 107,856 | |
3,146,479 | 4.500%, 6/20/2041 | 3,508,318 | |
572,861 | 4.500%, 9/15/2041 | 647,861 | |
380,387 | 4.500%, 10/15/2043 | 426,265 | |
389,691 | 4.500%, 11/15/2043 | 436,691 | |
462,316 | 5.000%, 1/15/2039 | 532,174 | |
432,457 | 5.000%, 5/15/2039 | 498,267 | |
590,541 | 5.000%, 8/20/2039 | 677,278 | |
183,682 | 5.500%, 12/15/2038 | 214,764 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 133,134 | 5.500%, 12/20/2038 | $155,078 | |
199,305 | 5.500%, 1/15/2039 | 234,327 | |
268,840 | 5.500%, 2/15/2039 | 315,655 | |
7,717 | 6.000%, 10/15/2028 | 8,625 | |
7,166 | 6.000%, 3/15/2029 | 7,995 | |
80,295 | 6.000%, 2/15/2036 | 94,232 | |
127,113 | 6.000%, 4/15/2036 | 149,517 | |
142,570 | 6.000%, 6/15/2037 | 167,838 | |
11,611 | 6.500%, 10/15/2028 | 13,210 | |
6,004 | 6.500%, 10/15/2028 | 6,549 | |
7,322 | 6.500%, 11/15/2028 | 8,251 | |
10,870 | 6.500%, 12/15/2028 | 12,250 | |
3,632 | 6.500%, 2/15/2029 | 4,113 | |
12,899 | 6.500%, 3/15/2029 | 14,594 | |
27,068 | 6.500%, 9/15/2031 | 31,493 | |
58,123 | 6.500%, 2/15/2032 | 67,373 | |
15,940 | 7.000%, 11/15/2027 | 17,851 | |
8,237 | 7.000%, 6/15/2028 | 9,215 | |
16,142 | 7.000%, 11/15/2028 | 18,058 | |
7,959 | 7.000%, 1/15/2029 | 9,060 | |
7,481 | 7.000%, 5/15/2029 | 8,592 | |
2,114 | 7.000%, 10/15/2029 | 2,411 | |
21,690 | 7.000%, 5/15/2030 | 24,911 | |
14,773 | 7.000%, 11/15/2030 | 17,127 | |
12,191 | 7.000%, 12/15/2030 | 13,889 | |
14,290 | 7.000%, 8/15/2031 | 16,580 | |
60,843 | 7.000%, 10/15/2031 | 70,773 | |
10,875 | 7.000%, 12/15/2031 | 12,711 | |
11,116 | 7.500%, 8/15/2029 | 12,753 | |
41,461 | 7.500%, 10/15/2029 | 48,084 | |
4,261 | 7.500%, 10/15/2030 | 4,947 | |
6,932 | 7.500%, 1/15/2031 | 8,149 | |
1,576 | 8.000%, 1/15/2022 | 1,610 | |
1,231 | 8.000%, 6/15/2022 | 1,269 | |
819 | 8.000%, 8/15/2029 | 957 | |
2,504 | 8.000%, 10/15/2029 | 2,927 | |
8,985 | 8.000%, 11/15/2029 | 10,513 | |
8,928 | 8.000%, 1/15/2030 | 10,326 | |
3,332 | 8.000%, 10/15/2030 | 3,888 |
Principal Amount or Shares | Value | ||
MORTGAGE-BACKED SECURITIES— continued | |||
Government National Mortgage Association— continued | |||
$ 73,955 | 8.000%, 11/15/2030 | $87,206 | |
3,871 | 8.500%, 5/15/2029 | 4,557 | |
TOTAL | 136,906,152 | ||
1 | Uniform Mortgage-Backed Securities, TBA— 19.7% | ||
46,000,000 | 2.000%, 1/1/2036 | 48,108,985 | |
78,500,000 | 2.000%, 1/1/2051 | 81,602,838 | |
278,500,000 | 2.500%, 1/1/2051 | 293,675,966 | |
TOTAL | 423,387,789 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,722,497,397) | 1,820,009,747 | ||
ASSET-BACKED SECURITIES— 13.5% | |||
Auto Receivables— 2.9% | |||
6,268,000 | AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026 | 6,287,069 | |
3,880,000 | AmeriCredit Automobile Receivables Trust 2020-3, Class C, 1.060%, 8/18/2026 | 3,897,194 | |
11,095,000 | Santander Drive Auto Receivables Trust 2020-2, Class D, 2.220%, 9/15/2026 | 11,355,609 | |
23,062,000 | Santander Drive Auto Receivables Trust 2020-3, Class C, 1.120%, 1/15/2026 | 23,306,455 | |
6,335,000 | Santander Drive Auto Receivables Trust 2020-4, Class D, 1.480%, 1/15/2027 | 6,362,520 | |
10,025,000 | Tesla Auto Lease Trust 2020-A, Class A3, 0.680%, 12/20/2023 | 10,092,351 | |
TOTAL | 61,301,198 | ||
Credit Card— 6.4% | |||
12,895,000 | 2 | American Express Credit Account Master Trust 2018-9, Class A, 0.538% (1-month USLIBOR +0.380%), 4/15/2026 | 12,953,422 |
14,368,000 | 2 | Capital One Multi-Asset Execute 2017-A5, Class A5, 0.738% (1-month USLIBOR +0.580%), 7/15/2027 | 14,535,492 |
35,255,000 | 2 | Chase Issuance Trust 2018-A1, Class A1, 0.358% (1-month USLIBOR +0.200%), 4/17/2023 | 35,314,888 |
13,450,000 | 2 | Citibank Credit Card Issuance Trust 2018-A4, Class A4, 0.492% (1-month USLIBOR +0.340%), 6/7/2025 | 13,496,206 |
26,460,000 | 2 | Discover Card Execution Note Trust 2017-A5, Class A5, 0.758% (1-month USLIBOR +0.600%), 12/15/2026 | 26,759,786 |
22,500,000 | 2 | Discover Card Execution Note Trust 2017-A7, Class A7, 0.518% (1-month USLIBOR +0.360%), 4/15/2025 | 22,564,800 |
12,340,000 | 2 | Discover Card Execution Note Trust 2018-A2, Class A2, 0.488% (1-month USLIBOR +0.330%), 8/15/2025 | 12,402,869 |
TOTAL | 138,027,463 | ||
Other— 0.1% | |||
866,021 | Sofi Consumer Loan Program Trust 2016-1, Class A, 3.260%, 8/25/2025 | 875,654 |
Principal Amount or Shares | Value | ||
ASSET-BACKED SECURITIES— continued | |||
Student Loans— 4.1% | |||
$ 10,472,048 | Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069 | $10,615,736 | |
22,116,179 | Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069 | 22,341,041 | |
18,675,000 | Navient Student Loan Trust 2020-HA, Class A, 1.310%, 1/15/2069 | 18,864,103 | |
15,908,544 | 2 | SMB Private Education Loan Trust 2018-A, Class A2B, 0.958% (1-month USLIBOR +0.800%), 2/15/2036 | 15,957,529 |
20,424,717 | 2 | SMB Private Education Loan Trust 2020-BA, Class A1B, 1.249% (1-month USLIBOR +1.100%), 7/15/2053 | 20,547,968 |
TOTAL | 88,326,377 | ||
TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $286,144,915) | 288,530,692 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— 9.0% | |||
2 | Federal Home Loan Mortgage Corporation— 2.9% | ||
14,543,290 | FHLMC REMIC, Series 3284, Class AF, 0.468% (1-month USLIBOR +0.310%), 3/15/2037 | 14,589,868 | |
7,687,187 | FHLMC REMIC, Series 4273, Class PF, 0.558% (1-month USLIBOR +0.400%), 11/15/2043 | 7,749,341 | |
35,414,741 | FHLMC REMIC, Series 4856, Class FD, 0.458% (1-month USLIBOR +0.300%), 8/15/2040 | 35,563,649 | |
5,656,394 | FHLMC REMIC, Series 4901, Class GF, 0.598% (1-month USLIBOR +0.450%), 7/25/2049 | 5,689,892 | |
TOTAL | 63,592,750 | ||
2 | Federal National Mortgage Association— 5.1% | ||
14,145,483 | FNMA REMIC, Series 2017-90, Class WF, 0.498% (1-month USLIBOR +0.350%), 11/25/2047 | 14,190,459 | |
3,561,843 | FNMA REMIC, Series 2018-15, Class JF, 0.448% (1-month USLIBOR +0.300%), 3/25/2048 | 3,573,486 | |
28,587,238 | FNMA REMIC, Series 2019-27, Class FH, 0.598% (1-month USLIBOR +0.450%), 6/25/2049 | 28,791,094 | |
11,786,033 | FNMA REMIC, Series 2019-30, Class FB, 0.548% (1-month USLIBOR +0.400%), 7/25/2049 | 11,878,897 | |
6,753,029 | FNMA REMIC, Series 2019-33, Class FB, 0.598% (1-month USLIBOR +0.450%), 7/25/2049 | 6,795,542 | |
13,740,154 | FNMA REMIC, Series 2019-39, Class FA, 0.548% (1-month USLIBOR +0.400%), 8/25/2049 | 13,834,453 | |
8,856,734 | FNMA REMIC, Series 2019-47, Class FB, 0.548% (1-month USLIBOR +0.400%), 5/25/2040 | 8,921,305 | |
20,542,523 | FNMA REMIC, Series 2019-56, Class AF, 0.548% (1-month USLIBOR +0.400%), 10/25/2049 | 20,700,405 | |
TOTAL | 108,685,641 | ||
2 | Government National Mortgage Association— 0.2% | ||
4,493,142 | GNMA REMIC, Series 2005-71, Class FA, 0.285% (1-month USLIBOR +0.140%), 9/16/2035 | 4,486,721 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS— continued | |||
Non-Agency Mortgage-Backed Securities— 0.8% | |||
$ 642,512 | Countrywide Home Loans 2005-21, Class A2, 5.500%, 10/25/2035 | $551,735 | |
437,501 | Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037 | 252,455 | |
123,957 | Residential Funding Mortgage Securities I 2005-SA3, Class 3A, 3.151%, 8/25/2035 | 124,075 | |
4,003,275 | Sequoia Mortgage Trust 2012-6, Class A2, 1.808%, 12/25/2042 | 3,915,417 | |
3,727,683 | Sequoia Mortgage Trust 2013-1, Class 2A1, 1.855%, 2/25/2043 | 3,757,752 | |
8,183,602 | Sequoia Mortgage Trust 2013-2, Class A, 1.874%, 2/25/2043 | 8,290,564 | |
TOTAL | 16,891,998 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $192,621,125) | 193,657,110 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES— 2.7% | |||
Agency Commercial Mortgage-Backed Securities— 2.7% | |||
25,707,100 | FHLMC REMIC, Series K736, Class A1, 1.895%, 6/25/2025 | 26,419,482 | |
31,500,000 | 2 | FHLMC REMIC, Series KF90, Class AS, 0.462% (Secured Overnight Financing Rate +0.380%), 9/25/2030 | 31,500,000 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $57,335,635) | 57,919,482 | ||
INVESTMENT COMPANY— 9.6% | |||
204,435,825 | 3 | Federated Hermes Government Obligations Fund, Premier Shares, 0.01%4 (IDENTIFIED COST $204,435,825) | 204,435,825 |
TOTAL INVESTMENT IN SECURITIES—119.7% (IDENTIFIED COST $2,463,034,897)5 | 2,564,552,856 | ||
OTHER ASSETS AND LIABILITIES - NET—(19.7)%6 | (421,434,756) | ||
TOTAL NET ASSETS—100% | $2,143,118,100 |
Federated Hermes Government Obligations Fund, Premier Shares | |
Value as of 12/31/2019 | $121,153,079 |
Purchases at Cost | $2,340,888,918 |
Proceeds from Sales | $(2,257,606,172) |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | $— |
Value as of 12/31/2020 | $204,435,825 |
Shares Held as of 12/31/2020 | 204,435,825 |
Dividend Income | $765,479 |
1 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
2 | Floating/variable note with current rate and current maturity or next reset date shown. |
3 | All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
4 | 7-day net yield. |
5 | The cost of investments for federal tax purposes amounts to $2,460,000,240. |
6 | Assets, other than investment in securities, less liabilities. See Statement of Assets and Liabilities. A significant portion of this balance is the result of dollar-roll transactions as of December 31, 2020. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $1,820,009,747 | $— | $1,820,009,747 |
Asset-Backed Securities | — | 288,530,692 | — | 288,530,692 |
Collateralized Mortgage Obligations | — | 193,657,110 | — | 193,657,110 |
Commercial Mortgage-Backed Securities | — | 57,919,482 | — | 57,919,482 |
Investment Company | 204,435,825 | — | — | 204,435,825 |
TOTAL SECURITIES | $204,435,825 | $2,360,117,031 | $— | $2,564,552,856 |
The following acronym(s) are used throughout this portfolio: | ||
FHLMC | —Federal Home Loan Mortgage Corporation | |
FNMA | —Federal National Mortgage Association | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
REMIC | —Real Estate Mortgage Investment Conduit |
Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | |
Net Asset Value, Beginning of Period | $9.88 | $9.60 | $9.80 | $9.81 | $9.85 |
Income From Investment Operations: | |||||
Net investment income (loss)1 | 0.24 | 0.32 | 0.30 | 0.27 | 0.23 |
Net realized and unrealized gain (loss) | 0.22 | 0.28 | (0.20) | 0.002 | (0.00)2 |
TOTAL FROM INVESTMENT OPERATIONS | 0.46 | 0.60 | 0.10 | 0.27 | 0.23 |
Less Distributions: | |||||
Distributions from net investment income | (0.27) | (0.32) | (0.30) | (0.28) | (0.27) |
Net Asset Value, End of Period | $10.07 | $9.88 | $9.60 | $9.80 | $9.81 |
Total Return3 | 4.70% | 6.33% | 1.10% | 2.75% | 2.30% |
Ratios to Average Net Assets: | |||||
Net expenses4 | 0.02% | 0.03% | 0.03% | 0.03% | 0.03% |
Net investment income | 2.42% | 3.25% | 3.18% | 2.71% | 2.34% |
Expense waiver/reimbursement5 | —% | —% | —% | 0.00%6 | 0.00%6 |
Supplemental Data: | |||||
Net assets, end of period (000 omitted) | $2,143,118 | $2,528,865 | $2,815,951 | $1,787,418 | $2,147,397 |
Portfolio turnover | 257% | 130% | 109% | 88% | 258% |
Portfolio turnover (excluding purchases and sales from dollar-roll transactions) | 72% | 100% | 109% | 46% | 42% |
1 | Per share numbers have been calculated using the average shares method. |
2 | Represents less than $0.01. |
3 | Based on net asset value. |
4 | Amount does not reflect net expenses incurred by investment companies in which the Fund may invest. |
5 | This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not reflect expense waiver/reimbursement recorded by investment companies in which the Fund may invest. |
6 | Represents less than 0.01%. |
Assets: | |
Investment in securities, at value including $204,435,825 of investments in an affiliated holding* (identified cost $2,463,034,897) | $2,564,552,856 |
Income receivable | 4,166,531 |
Income receivable from an affiliated holding | 1,697 |
Total Assets | 2,568,721,084 |
Liabilities: | |
Payable for investments purchased | 421,122,087 |
Income distribution payable | 4,300,476 |
Payable for Directors’/Trustees’ fees (Note 5) | 120 |
Accrued expenses (Note 5) | 180,301 |
Total Liabilities | 425,602,984 |
Net assets for 212,847,474 shares outstanding | $2,143,118,100 |
Net Assets Consist of: | |
Paid-in capital | $2,068,404,881 |
Total distributable earnings (loss) | 74,713,219 |
Total Net Assets | $2,143,118,100 |
Net Asset Value, Offering Price and Redemption Proceeds Per Share: | |
$2,143,118,100 ÷ 212,847,474 shares outstanding, no par value, unlimited shares authorized | $10.07 |
* | See information listed after the Fund’s Portfolio of Investments. |
Investment Income: | |
Interest | $62,802,143 |
Dividends received from an affiliated holding* | 765,479 |
TOTAL INCOME | 63,567,622 |
Expenses: | |
Custodian fees | 115,945 |
Transfer agent fees | 172,847 |
Directors’/Trustees’ fees (Note 5) | 15,136 |
Auditing fees | 32,500 |
Legal fees | 8,352 |
Portfolio accounting fees | 250,544 |
Share registration costs | 1,430 |
Printing and postage | 16,016 |
Miscellaneous (Note 5) | 27,021 |
TOTAL EXPENSES | 639,791 |
Net investment income | 62,927,831 |
Realized and Unrealized Gain (Loss) on Investments: | |
Net realized gain on investments | 39,055,732 |
Net change in unrealized appreciation of investments | 21,837,682 |
Net realized and unrealized gain (loss) on investments | 60,893,414 |
Change in net assets resulting from operations | $123,821,245 |
* | See information listed after the Fund’s Portfolio of Investments. |
Year Ended December 31 | 2020 | 2019 |
Increase (Decrease) in Net Assets | ||
Operations: | ||
Net investment income | $62,927,831 | $84,239,892 |
Net realized gain (loss) | 39,055,732 | 11,228,822 |
Net change in unrealized appreciation/depreciation | 21,837,682 | 62,595,684 |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | 123,821,245 | 158,064,398 |
Distributions to Shareholders | (70,234,363) | (84,671,889) |
Share Transactions: | ||
Proceeds from sale of shares | 1,127,424,951 | 679,031,800 |
Net asset value of shares issued to shareholders in payment of distributions declared | 9,568,350 | 10,132,796 |
Cost of shares redeemed | (1,576,326,869) | (1,049,643,767) |
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS | (439,333,568) | (360,479,171) |
Change in net assets | (385,746,686) | (287,086,662) |
Net Assets: | ||
Beginning of period | 2,528,864,786 | 2,815,951,448 |
End of period | $2,143,118,100 | $2,528,864,786 |
Year Ended 12/31/2020 | Year Ended 12/31/2019 | |
Shares sold | 112,591,117 | 69,130,342 |
Shares issued to shareholders in payment of distributions declared | 949,096 | 1,033,755 |
Shares redeemed | (156,643,675) | (107,607,772) |
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS | (43,103,462) | (37,443,675) |
2020 | 2019 | |
Ordinary income | $70,234,363 | $84,671,889 |
Undistributed ordinary income | $132,210 |
Net unrealized appreciation | $104,552,616 |
Capital loss carryforwards | $(29,971,607) |
Short-Term | Long-Term | Total |
$16,157,875 | $13,813,732 | $29,971,607 |
Purchases | $491,346,261 |
Sales | $213,932,554 |
Beginning Account Value 7/1/2020 | Ending Account Value 12/31/2020 | Expenses Paid During Period1 | |
Actual | $1,000.00 | $1,007.90 | $0.10 |
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,025.04 | $0.10 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.02%, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half-year period). |
Annual Evaluation of Adequacy and Effectiveness
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
or call 1-800-341-7400.
CUSIP 31428Q812
CUSIP 31428Q796
CUSIP 31428Q770
CUSIP 31428Q101
CUSIP 31428Q507
CUSIP 31428Q739
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Total Return Series, Inc.
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 23, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ J. Christopher Donahue
J. Christopher Donahue
Principal Executive Officer
Date July 23, 2021
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date July 23, 2021